主  題：Optimal Portfolio Choice in a Banking Model under Regulatory Constraints-馬俊 (阿拉巴馬大學(xué))

內(nèi)容簡介：We use an affine term structure model of yield to maturities to model the financial markets, and analyze the interaction between financial markets and a banking system in which risk averse banks are assumed to maximize the present value of all future prots, subject to capital and liquidity constraints a la Basel III. We provide a complete analytical solution to the portfolio problem of the bank. The impact of shocks to the term structure on the pricing of loans decisions, balance sheet composition, and credit provision for the bank are analyzed to understand the interaction between the regulatory constraints and the financial stability of the banking system. We study the option value of bank capital to understand the factors that determine the optimal level of equity to be held by banks. With estimates for the term structure model, we provide realistic circumstances faced by a bank within and outside a financial crisis and how it would optimally respond in terms of providing credit to the economy.

報(bào)告人：馬俊    副教授    留美經(jīng)濟(jì)學(xué)會(huì)會(huì)長

時(shí)  間：2016-06-08    14:00

地  點(diǎn)：敏行樓102

舉辦單位：經(jīng)濟(jì)與貿(mào)易學(xué)院  組織人事部  沁園書院