This project is about the optimization of the capital management of a French global bank. Capital management corresponds here to allocating the available capital to the different business units. In this project, I focus on the optimization of the allocation of the risk weighted assets (RWA) between some of the business units of the bank, as a representation of the allocated capital. Emphasis is put on the market and retail part of the bank and the first step was to be able to model the evolution of a business unit given an economic environment. The second one was about optimizing the distribution of RWA among the selected parts of the bank. / Projektets ämne handlar om att optimering allokering av kapital inom en fransk global bank. Kapital management syftar här på hur kapital ska fördelas mellan olika avdelningar inom banken. I detta projekt fokuserar jag på optimering av allokeringen av riskvägda resurser (RWA) mellan några av bankens enheter, som en representation av det allokerade kapitalet. Uppsatsen inriktar sig främst emot retail-delen av banken. Första steget var att modellera utvecklingen av en bankavdelning givet en ekonomisk omgivning? Andra steget var att försöka optimera fördelningen av RWA mellan de utvalda bankavdelningarna.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kth-273413 |
| Date | January 2020 |
| Creators | Barreau, Thibaud |
| Publisher | KTH, Matematisk statistik |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | TRITA-SCI-GRU ; 2020:048 |
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