Abstract
The minimization of regulatory capital requirements has significant impact on the activities of the financial institutions, since it is usually associated with an increase in liquidity which is considered of critical importance for their sustainability and growth. The main tool towards such an aim is the effective allocation of collaterals to the associated set of loans. A methodology regarding this problem, based on the well-known transportation problem, is provided in this paper. Our approach has been implemented and applied to both real data from a systemic bank and synthetic data. From the results obtained it is evident that the proposed formulation leads to less regulatory capital requirements compared to other existing methodologies also implemented for the purposes of the current work.
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Papalamprou, K., Pournaras, E.P., Tychalaki, S. (2019). A Mathematical Programming Approach for the Optimal Collateral Allocation Problem. In: Fortz, B., Labbé, M. (eds) Operations Research Proceedings 2018. Operations Research Proceedings. Springer, Cham. https://doi.org/10.1007/978-3-030-18500-8_27
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DOI: https://doi.org/10.1007/978-3-030-18500-8_27
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