摘要翻译：
通过合理控制资产净值比率来保持银行的效率和稳定，是银行经营管理中最重要也是最困难的挑战之一。由于资产价值意外及突然下跌，银行必须密切监察其资产净值及市况，而其中一个重要考虑是何时筹集更多资本，以免违反资本充足规定。本文建立了避免延误成本和提前筹资之间的权衡模型，并求解了相应的最优停止问题。为了建立银行贷款/信贷业务组合中的违约模型，我们用Levy过程表示其净值，并对双指数跳跃扩散过程和一般谱负Levy过程进行了显式求解。
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英文标题：
《Precautionary Measures for Credit Risk Management in Jump Models》
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作者：
Masahiko Egami and Kazutoshi Yamazaki
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
  Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of asset values, a bank must closely monitor its net worth as well as market conditions, and one of its important concerns is when to raise more capital so as not to violate capital adequacy requirements. In this paper, we model the tradeoff between avoiding costs of delay and premature capital raising, and solve the corresponding optimal stopping problem. In order to model defaults in a bank's loan/credit business portfolios, we represent its net worth by Levy processes, and solve explicitly for the double exponential jump diffusion process and for a general spectrally negative Levy process.
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PDF链接：
https://arxiv.org/pdf/1004.0595