Abstract

Burghof and Muller (High Performance Computing in Science and Engineering ’11. Springer, Heidelberg, 2012) already describes a basic model of economic capital allocation in banking. Furthermore, Burghof and Muller (High Performance Computing in Science and Engineering ’12. Springer, Heidelberg, 2013) addresses the model’s heuristic solving algorithm in the form of threshold accepting by focusing on the algorithm’s parameterization. The current report finally focusses on emphasizing the superiority of the optimal method of economic capital allocation. Thereto, the report restricts itself to an introductory model case providing optimal conditions in the form of an informed central management of the model bank.

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