摘要：The ongoing subprime mortgage crisis (SMC) and implementation of Basel II
Capital Accord regulation have resulted in issues related to bank
valuation and profitability becoming more topical. Profit is a major
indicator of financial crises for households, companies, and financial institutions. An SMC-related example of this is the U.S. bank,
Wachovia Corp., which reported major losses in the first quarter of 2007
and eventually was bought by Citigroup in September 2008. A first
objective of this paper is to value a bank subject to Basel II based
on premiums for market, credit, and operational risk. In this case, we
investigate the discrete-time dynamics of banking assets, capital, and
profit when loan losses and macroeconomic conditions are explicitly
considered. These models enable us to formulate an optimal bank
valuation problem subject to cash flow, loan demand, financing, and
balance sheet constraints. The main achievement of this paper is bank
value maximization via optimal choices of loan rate and supply which
leads to maximal deposits, provisions for deposit withdrawals, and bank
profitability. The aforementioned loan rates and capital provide
connections with the SMC. Finally, OECD data confirms that loan loss
provisioning and profitability are strongly correlated with the
business cycle.
