LIBROS DEL AUTOR: prof m a peterson

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  • Bank loan pricing, profitability and their connections with Basil II
    Aaron Tau / Prof M A Peterson
    In keeping with the main theme of this thesis, we simulate the financial indices ROE and ROA that are two measures of bank profitability. We further discuss optimization with power utility where we show the convergence of the Markov Chain Approximation Method (MCAM) and the impact of varying the model parameters in the form of loan loss severity, and loan loss frequency. We inv...
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