NDLI: Bank Balance Sheet Optimization

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Bank Balance Sheet Optimization

Content Provider	Semantic Scholar
Author	Hellemons, H. J. A.
Copyright Year	2012
Abstract	Effectively performing strategic balance sheet management is a difficult challenge for many banks, given the fact that new stronger regulatory constraints, under the name of Basel III, are soon to be introduced. Besides the regulatory constraints, bank’s need to keep their strategic goals, risk profile, managerial constraints and exogenous influences into account as well. Trial and error approaches are sub-optimal, therefore banks need reliable quantitative risk management models and tools that can serve as decision support systems. Taking the current balance sheet, the banks risk profile, strategy and other preferences and properties as a starting point, this report gradually presents a modeling framework for bank balance sheet optimization under Basel III. A thorough explanation of all the components of the model and a scientific reasoning for the choices and assumptions made is included. The report explains why the approach that is presented is a very effective way of strategic balance sheet management, especially in the current uncertain economic times. The results of the report show that the applied methodology can result in a solution for banks on how to optimally compose their balance sheet, given their strategy, risk profile and other preferences. They show how a bank can achieve a higher profitability and become and remain Basel III compliant throughout the whole phase-in period by solely modifying its balance sheet slightly. Besides that, some other smart ways of how banks can prepare themselves for Basel III are presented.
File Format	PDF HTM / HTML
Alternate Webpage(s)	http://www.few.vu.nl/nl/Images/stageverslag-hellemons_tcm243-315228.pdf
Alternate Webpage(s)	https://beta.vu.nl/nl/Images/stageverslag-hellemons_tcm235-315228.pdf
Alternate Webpage(s)	https://beta.vu.nl/nl/Images/stageverslag-puts_tcm235-273461.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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