Market risk management in a post-Basel II regulatory environment

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作者：Mikica Drenovak^a ; ^b ; ¹ ; Vladimir Ranković^b ; Milo&scaron ; Ivanović^c ; Branko Uro&scaron ; ević^d ; ^e ; ^f ; Ranko Jelic^g ; ^{r.jelic@sussex.ac.uk" class="auth_mail" title="E-mail the corresponding author}
关键词：Finance ; Market risk ; Basel 2.5 ; GARCH ; NSGA-II
刊名：European Journal of Operational Research
出版年：2017
出版时间：16 March 2017
年：2017
卷：257
期：3
页码：1030-1044
全文大小：2408 K

文摘

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We propose a novel method of Mean-Capital Requirements (CR) portfolio optimization.

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Our large-scale optimization framework combines NSGA-II algorithm and R software.

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Obtained optimal portfolios are not penalized by Basel 2.5 regulation.

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Stressing original correlations of asset returns improves Mean-CR tradeoffs.

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Improvements are related to reductions in cardinality of optimal portfolios.