FINANCIAL MODELLING IN THE BANKING INDUSTRY

机译：银行业的财务建模

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L′evy processes are beginning to emerge as an importantrntool for modeling economic indices in institutional finance.rnIn this paper, we investigate the stochastic dynamics ofrnbanking items such as loans, reserves and capital that arerndriven by such processes. Furthermore, we discuss tworntypes of bank provisioning that involve provisions beingrnmade for loan losses and deposit withdrawals. The formerrnis related to the earnings that the bank sets aside inrnorder to cover loan defaults. Also, our stochastic dynamicrnmodels enable us to analyze the interplay between depositrnwithdrawals and the provisioning for these withdrawals viarntreasuries and reserves.

机译：高级过程已开始成为建模机构财务中的经济指标的重要工具。本文研究由此类过程驱动的银行项目（例如贷款，准备金和资本）的随机动态。此外，我们讨论了两种银行准备金类型，其中包括针对贷款损失和存款提取的准备金。前者与该银行无力偿还贷款违约的收益有关。同样，我们的随机动态模型使我们能够分析存款提取与通过国库和储备为这些提取准备之间的相互作用。

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来源
《Financial engineering and applications》|2007年|p.1-6|共6页
会议地点 Berkeley CA(US);Berkeley CA(US)
作者
C.H. Fouche; M.A. Petersen; J. Mukuddem-Petersen;
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作者单位

Department of Mathematics and Applied MathematicsrnNorthWest Universityrn11 Hoffman Street,rnPotchefstroom, North West Province, South Africarnemail: Hennie.Fouche@nwu.ac.za;

Department of Mathematics and Applied MathematicsrnNorthWest Universityrn11 Hoffman Street,rnPotchefstroom, North West Province, South Africarnemail: Mark.Petersen@nwu.ac.za;

Department of Mathematics and Applied MathematicsrnNorthWest Universityrn11 Hoffman Street,rnPotchefstroom, North West Province, South Africarnemail: Janine.MukuddemPetersen@nwu.ac.za;

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会议组织
原文格式 PDF
正文语种 eng
中图分类财政、金融;
关键词
Banks; Dynamic Modeling; Levy Processes;

机译：银行；动态建模征收程序;

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FINANCIAL MODELLING IN THE BANKING INDUSTRY

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