Documents disponibles écrits par cet auteur

Estimation error in regulatory capital requirements / P. Beling in Journal of the operational research society (JORS), Vol. 61 N° 3 (Mars 2010) 

Public ISBD [article]  in Journal of the operational research society (JORS) > Vol. 61 N° 3 (Mars 2010) . - pp. 381–392 Titre : Estimation error in regulatory capital requirements : theoretical implications for consumer bank profitability Type de document : texte imprimé Auteurs : P. Beling, Auteur ; G. Overstreet, Auteur ; K. Rajaratnam, Auteur Année de publication : 2011 Article en page(s) : pp. 381–392 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Basel  II  Economic  capital  Consumer  credit Index. décimale : 001.424 Résumé : Despite the topic's societal importance and despite progress in bank research, a lack of consensus exists concerning either the desirability of bank regulation or its optimal design. Enforcement of minimum bank capital standards has been shown to enhance bank stability, but also serves as a potential source of incremental costs, some of which are subtle. Such widely ambiguous research results point to the need for theoretical research regarding capital regulation across diverse banking systems. Along the latter lines, consumer bank issues have been generally neglected. This paper theoretically examines the performance implications of misestimating the regulatory capital requirement for a stylised consumer bank. For our stylised consumer bank, we prove that misestimation, irrespective of its direction, results in lower economic profits and, hence, value. Conclusions and implications for future work are drawn. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n3/abs/jors2009109a.html [article] Estimation error in regulatory capital requirements : theoretical implications for consumer bank profitability [texte imprimé] / P. Beling, Auteur ; G. Overstreet, Auteur ; K. Rajaratnam, Auteur . - 2011 . - pp. 381–392. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 61 N° 3 (Mars 2010) . - pp. 381–392 Mots-clés : Basel  II  Economic  capital  Consumer  credit Index. décimale : 001.424 Résumé : Despite the topic's societal importance and despite progress in bank research, a lack of consensus exists concerning either the desirability of bank regulation or its optimal design. Enforcement of minimum bank capital standards has been shown to enhance bank stability, but also serves as a potential source of incremental costs, some of which are subtle. Such widely ambiguous research results point to the need for theoretical research regarding capital regulation across diverse banking systems. Along the latter lines, consumer bank issues have been generally neglected. This paper theoretically examines the performance implications of misestimating the regulatory capital requirement for a stylised consumer bank. For our stylised consumer bank, we prove that misestimation, irrespective of its direction, results in lower economic profits and, hence, value. Conclusions and implications for future work are drawn. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n3/abs/jors2009109a.html

Scoring decisions in the context of economic uncertainty / K. Rajaratnam in Journal of the operational research society (JORS), Vol. 61 N° 3 (Mars 2010) 

Public ISBD [article]  in Journal of the operational research society (JORS) > Vol. 61 N° 3 (Mars 2010) . - pp. 421–429 Titre : Scoring decisions in the context of economic uncertainty Type de document : texte imprimé Auteurs : K. Rajaratnam, Auteur ; P. Beling, Auteur ; G. Overstreet, Auteur Année de publication : 2011 Article en page(s) : pp. 421–429 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Portfolio  optimisation  Decision-making  under  risk  Risk  measures  Economic  forecasts Index. décimale : 001.424 Résumé : We consider methods for incorporating forecasts of future economic conditions into acquisition decisions for scored retail credit and loan portfolios. We suppose that a portfolio manager is faced with two possible future economic scenarios, each characterised by a known probability of occurrence and by known performance functions that give expected profit and volume. We suppose further that he must choose in advance the scoring strategy and score cutoffs to optimise performance. We show that, despite the uncertainty of performance induced by economic conditions, every efficient policy consists of a single cutoff, provided the expected profit and volume performance curves in each scenario are concave. If these curves are not concave, efficient operating points can be characterised as cutoffs on a redefined score. In cases in which two scorecards are available, we show that it may be advantageous to randomly choose the scorecard to be employed, and we provide methods for selecting efficient operating points. Discussion is limited to cases with two scorecards and two economic scenarios, but our approach and results generalise to more scorecards and more economic scenarios. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n3/abs/jors200999a.html [article] Scoring decisions in the context of economic uncertainty [texte imprimé] / K. Rajaratnam, Auteur ; P. Beling, Auteur ; G. Overstreet, Auteur . - 2011 . - pp. 421–429. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 61 N° 3 (Mars 2010) . - pp. 421–429 Mots-clés : Portfolio  optimisation  Decision-making  under  risk  Risk  measures  Economic  forecasts Index. décimale : 001.424 Résumé : We consider methods for incorporating forecasts of future economic conditions into acquisition decisions for scored retail credit and loan portfolios. We suppose that a portfolio manager is faced with two possible future economic scenarios, each characterised by a known probability of occurrence and by known performance functions that give expected profit and volume. We suppose further that he must choose in advance the scoring strategy and score cutoffs to optimise performance. We show that, despite the uncertainty of performance induced by economic conditions, every efficient policy consists of a single cutoff, provided the expected profit and volume performance curves in each scenario are concave. If these curves are not concave, efficient operating points can be characterised as cutoffs on a redefined score. In cases in which two scorecards are available, we show that it may be advantageous to randomly choose the scorecard to be employed, and we provide methods for selecting efficient operating points. Discussion is limited to cases with two scorecards and two economic scenarios, but our approach and results generalise to more scorecards and more economic scenarios. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n3/abs/jors200999a.html