3 papers
q-fin.RM2025
Dynamic loan portfolio management in a three time step model
Deb Narayan Barik, Siddhartha P. Chakrabarty
This paper studies the bank dynamic decision problem in the intermediate time step for a discrete-time setup. We have considered a three-time-step model. Initially, the banks raise…
q-fin.RM2023
Loan portfolio management and Liquidity Risk: The impact of limited liability and haircut
Deb Narayan Barik, Siddhartha P. Chakrabarty
In this article, we consider the problem of a bank's loan portfolio in the context of liquidity risk, while allowing for the limited liability protection enjoyed by the bank. Accor…
q-fin.PM2022
Does limited liability reduce leveraged risk?: The case of loan portfolio management
Deb Narayan Barik, Siddhartha P. Chakrabarty
Return-risk models are the two pillars of modern portfolio theory, which are widely used to make decisions in choosing the loan portfolio of a bank. Banks and other financial insti…