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Bank Profit Modeling: ROA and ROE Analysis by Sandi Tjokro is a document available to read on EtoBox.

What is Bank Profit Modeling: ROA and ROE Analysis about?

This document summarizes a study that models bank profitability using return-on-assets (ROA) and return-on-equity (ROE). The study derives stochastic differential equations to model the dynamics of ROA and ROE using Lévy processes. Lévy processes allow the modeling of non-continuous behavior. The study aims to model the dynamics of ROA and ROE to better understand bank profitability and compare models using Lévy processes versus Brownian motion. Simulations are provided comparing the profitability indicator

Author

Sandi Tjokro

Language

EN