Xiaodi Bai

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Financial institutions are currently required to meet more stringent capital requirements than they were before the recent financial crisis; in particular, the capital requirement for a large bank’s trading book under the Basel 2.5 Accord more than doubles that under the Basel II Accord. The significant increase in capital requirements renders it necessary(More)
Chance-Constrained Optimization Problems with Discrete Distributions Xiaodi Bai Department of Management Science, School of Management, Fudan University, Shanghai 200433, P. R. China, xdbai@fudan.edu.cn Jie Sun Department of Decision Sciences and Risk Management Institute, National University of Singapore, Singapore 119245, jsun@nus.edu.sg Xiaoling Sun(More)
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