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You searched for subject:(Bank Optimal Portfolio). Showing records 1 – 3 of 3 total matches.

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Texas A&M University

1. Kim, Eul Jin. Essays on Bank Optimal Portfolio Choice under Liquidity Constraint.

Degree: 2012, Texas A&M University

Long term asset creates more revenue, however it is riskier in a liquidity sense. Our question is: How does a liquidity constrained bank make decisions between profitability and liquidity? We present a computable DSGE model of banks optimal portfolio choices under liquidity constraints. Our theory predicts that liquidation plays an important role in a bank's portfolio model. Even though liquidation is an off-equilibrium phenomenon, banks can have rich loan portfolios due to the possibility of liquidation. Liquidity condition is a key factor in banks portfolio. In a moderate liquidity situation, a bank can lend more profitable longer term loans, however, if a shock in liquidity is expected, then the bank lends more loans in short term. According to the liquidity conditions, the bank can have medium term loans which are different from other previous literature. In addition, we extend our model to the bank's securities business where the bank's debts are largely short term deposit. Our theory predicts that the bank securities business produces a chasm between a real liquidity of economy and market liquidity. Banks can have more liquidity by selling their securitized loans, and as our model already pointed out, a good liquidity condition makes the bank have more profitable but less liquid long term loans. As a consequence, long term loans are accumulated with this securitization, simply because a long term loan gives higher revenue. Any market turbulence can invoke a problem in economy wide liquidity. Advisors/Committee Members: Kim, Hwagyun (advisor), Jinnai, Ryo (advisor), Zervou, Anastasia (committee member), Zhang, Yuzhe (committee member).

Subjects/Keywords: Bank Optimal Portfolio; Securitization

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Kim, E. J. (2012). Essays on Bank Optimal Portfolio Choice under Liquidity Constraint. (Thesis). Texas A&M University. Retrieved from http://hdl.handle.net/1969.1/ETD-TAMU-2012-08-11745

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Kim, Eul Jin. “Essays on Bank Optimal Portfolio Choice under Liquidity Constraint.” 2012. Thesis, Texas A&M University. Accessed August 07, 2020. http://hdl.handle.net/1969.1/ETD-TAMU-2012-08-11745.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Kim, Eul Jin. “Essays on Bank Optimal Portfolio Choice under Liquidity Constraint.” 2012. Web. 07 Aug 2020.

Vancouver:

Kim EJ. Essays on Bank Optimal Portfolio Choice under Liquidity Constraint. [Internet] [Thesis]. Texas A&M University; 2012. [cited 2020 Aug 07]. Available from: http://hdl.handle.net/1969.1/ETD-TAMU-2012-08-11745.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kim EJ. Essays on Bank Optimal Portfolio Choice under Liquidity Constraint. [Thesis]. Texas A&M University; 2012. Available from: http://hdl.handle.net/1969.1/ETD-TAMU-2012-08-11745

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of the Western Cape

2. Kaibe, Bosiu C. Modelling of asset allocation in banking using the mean-variance approach .

Degree: 2012, University of the Western Cape

Bank asset management mainly involves profit maximization through invest- ment in loans giving high returns on loans, investment in securities for reducing risk and providing liquidity needs. In particular, commercial banks grant loans to creditors who pay high interest rates and are not likely to default on their loans. Furthermore, the banks purchase securities with high returns and low risk. In addition, the banks attempt to lower risk by diversifying their asset portfolio. The main categories of assets held by banks are loans, treasuries (bonds issued by the national treasury), reserves and intangible assets. In this mini-thesis, we solve an optimal asset allocation problem in banking under the mean-variance frame work. The dynamics of the different assets are modelled as geometric Brownian motions, and our optimization problem is of the mean- variance type. We assume the Basel II regulations on banking supervision. In this contribution, the bank funds are invested into loans and treasuries with the main objective being to obtain an optimal return on the bank asset port- folio given a certain risk level. There are two main approaches to portfolio optimization, which are the so called martingale method and Hamilton Jacobi Bellman method. We shall follow the latter. As is common in portfolio op- timization problems, we obtain an explicit solution for the value function in the Hamilton Jacobi Bellman equation. Our approach to the portfolio prob- lem is similar to the presentation in the paper [Hojgaard, B., Vigna, E., 2007. Mean-variance portfolio selection and efficient frontier for defined contribution pension schemes. ISSN 1399-2503. On-line version ISSN 1601-7811]. We pro- vide much more detail and we make the application to banking. We illustrate our findings by way of numerical simulations. Advisors/Committee Members: Witbooi, Peter J (advisor).

Subjects/Keywords: Bank assets; Optimal control; Dynamic programming; Mean-variance; Efficient frontier; Hamilton Jacobi Bellman equation; Portfolio; Basel II; Treasuries; Capital adequacy

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Kaibe, B. C. (2012). Modelling of asset allocation in banking using the mean-variance approach . (Thesis). University of the Western Cape. Retrieved from http://hdl.handle.net/11394/4051

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Kaibe, Bosiu C. “Modelling of asset allocation in banking using the mean-variance approach .” 2012. Thesis, University of the Western Cape. Accessed August 07, 2020. http://hdl.handle.net/11394/4051.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Kaibe, Bosiu C. “Modelling of asset allocation in banking using the mean-variance approach .” 2012. Web. 07 Aug 2020.

Vancouver:

Kaibe BC. Modelling of asset allocation in banking using the mean-variance approach . [Internet] [Thesis]. University of the Western Cape; 2012. [cited 2020 Aug 07]. Available from: http://hdl.handle.net/11394/4051.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kaibe BC. Modelling of asset allocation in banking using the mean-variance approach . [Thesis]. University of the Western Cape; 2012. Available from: http://hdl.handle.net/11394/4051

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Exeter

3. Shahin, Mahmoud. Three essays on bank profitability, fragility, and lending.

Degree: PhD, 2015, University of Exeter

We present three chapters on theoretical issues of banking. These deal with bank runs, risk sharing, lending and profitability. In the first chapter, we examine the agency problem in the bank-depositor relationship. Depositors are the principals and banks are the agents. Banks choose investment portfolios and are subject to moral hazard in that they have incentive to take on more risk than desirable to depositors because they are residual claimants. We study an incentive-compatible mechanism that prompts banks to follow a safe investment policy. This mechanism leaves the bank a profit margin in a similar manner to a CEO being paid a bonus by a company. In the second chapter, we extend Allen and Gale (1998) by adding a long-term riskless investment opportunity to the original portfolio of a short-term liquid asset and a long-term risky illiquid asset. Through portfolio diversification, we identify the risk-sharing deposit contract in a three-period model that maximizes the ex-ante expected utility of depositors. Unlike Allen and Gale, there are no information-based bank runs in equilibrium. In addition, our model can improve consumers' welfare over the Allen and Gale model. I also show that the bank will choose to liquidate the cheaper investments, in terms of the gain-loss ratios for the two types of existing long-term assets, when there is liquidity shortage in some cases. Such a policy reduces the liquidation cost and enables the bank to meet the outstanding liability to depositors without large liquidation losses. In the third chapter, we study the role of banks in providing loans to borrower firms. This paper extends the theory of designing optimal loan contracts (for profits) in the Bolton and Scharfstein (1996) model to a setting where asymmetry of information exists. Based on the verifiability of information structure, we analyze complete and incomplete contracts. Through this analysis, optimal, incentive-compatible loan contracts that maximize the expected profit of the bank are characterized. Our analysis suggests that a bank could be induced to liquidate a borrower's project under specific conditions. Furthermore, we identify implementable mechanisms for the renegotiation game given the bargaining power between a borrower and a bank.

Subjects/Keywords: 330; Agency problem; Deposit contract; Bank profit; Bonus incentive scheme; Bank runs; Portfolio selection; Riskless assets; Risk sharing; Optimal investment and consumption; Liquidity needs and Liquidation; Loan contracts; Information Structure; Liquidation and Renegotiation

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Shahin, M. (2015). Three essays on bank profitability, fragility, and lending. (Doctoral Dissertation). University of Exeter. Retrieved from http://hdl.handle.net/10871/18675

Chicago Manual of Style (16th Edition):

Shahin, Mahmoud. “Three essays on bank profitability, fragility, and lending.” 2015. Doctoral Dissertation, University of Exeter. Accessed August 07, 2020. http://hdl.handle.net/10871/18675.

MLA Handbook (7th Edition):

Shahin, Mahmoud. “Three essays on bank profitability, fragility, and lending.” 2015. Web. 07 Aug 2020.

Vancouver:

Shahin M. Three essays on bank profitability, fragility, and lending. [Internet] [Doctoral dissertation]. University of Exeter; 2015. [cited 2020 Aug 07]. Available from: http://hdl.handle.net/10871/18675.

Council of Science Editors:

Shahin M. Three essays on bank profitability, fragility, and lending. [Doctoral Dissertation]. University of Exeter; 2015. Available from: http://hdl.handle.net/10871/18675

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