A Study on Bank Risk-Taking Behaviors under the Capital Regulation and Constraints of Bank Asset Allocation Strategies
Zhiheng Xue, Kui Yin, Ying Zhang
Available Online December 2013.
- https://doi.org/10.2991/mdhss-13.2013.14How to use a DOI?
- capital regulation asset allocation commercial bank
- It is controversial that whether capital regulation can really reduce the risk of banks. This paper studied the assets allocation behaviors of banks under supervision and explores the effectiveness of capital regulation based on bank asset allocation strategies. We built a linear programming model to find a certain bank’s asset allocation strategies under regulation. Then we established relationship between bank’s profit and risk to study bank’s risk taking behavior. We found that profit and risk are not exactly positively related and that banks need to make strategies based on its goal—maximum profit or minimum risk. The innovation of this paper lies in asset allocation strategies and linear programming solution.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Zhiheng Xue AU - Kui Yin AU - Ying Zhang PY - 2013/12 DA - 2013/12 TI - A Study on Bank Risk-Taking Behaviors under the Capital Regulation and Constraints of Bank Asset Allocation Strategies BT - Proceedings of the 2013 International Conference on the Modern Development of Humanities and Social Science PB - Atlantis Press SP - 55 EP - 58 SN - 1951-6851 UR - https://doi.org/10.2991/mdhss-13.2013.14 DO - https://doi.org/10.2991/mdhss-13.2013.14 ID - Xue2013/12 ER -