Banking Firm, Equity and Value at Risk

Artikel

The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking firm facing the risk of asset return. Given the necessity to achieve a confidence level for solvency, we demonstrate that diversification reduces the amount of equity. Notably, the VaR concept excludes a separation of equity policy and asset-liability management.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Contemporary Economics ; ISSN: 2084-0845 ; Volume: 6 ; Year: 2012 ; Issue: 4 ; Pages: 50-53 ; Warsaw: Vizja Press & IT

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Broll, Udo ; Sobiech, Anna ; Wahl, Jack E.
• Event: Veröffentlichung
• (who): Vizja Press & IT
• (where): Warsaw
• (when): 2012

Further information

• DOI: doi:10.5709/ce.1897-9254.67
• Handle: http://hdl.handle.net/10419/105436
• Last update: 10.03.2025, 11:42 AM CET