Value at risk, Equity and Diversification

Arbeitspapier

The value at risk measure attempts to summarize in a single number market value risk of a portfolio of financial assets.The paper focuses on the interaction between the solvency probability of a bank, on one hand, and the diversification potential of its portfolio, on the other hand, when optimum endowment of equity capital is to be determined. Given the necessity to achieve some confidence level of solvency we demonstrate that diversification pays when optimizing the use of the equity resource.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Dresden Discussion Paper Series in Economics ; No. 03/06

Classification and Topics

• Classification: Wirtschaft ; Corporate Finance and Governance: Government Policy and Regulation ; Financial Institutions and Services: Government Policy and Regulation ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: equity capital ; banking ; value at risk ; diversification ; risk management ; asset-liability management

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Broll, Udo ; Wahl, Jack E.
• Event: Veröffentlichung
• (who): Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
• (where): Dresden
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/22730
• Last update: 10.03.2025, 11:45 AM CET