Operational risk management and new computational needs in banks
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References listed on IDEAS
- Framstad, Nils Chr. & Oksendal, Bernt & Sulem, Agnes, 2001. "Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 233-257, April.
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KeywordsREGULAR - Operational risk management; HJB equation; Levy processes; budget optimization; capital allocation;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-19 (All new papers)
- NEP-BEC-2005-11-19 (Business Economics)
- NEP-CMP-2005-11-19 (Computational Economics)
- NEP-FIN-2005-11-19 (Finance)
- NEP-FMK-2005-11-19 (Financial Markets)
- NEP-UPT-2005-11-19 (Utility Models & Prospect Theory)
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