Arbeitspapier
Bankmanagement mit Value at Risk
Im Risikomanagement von Banken findet das Value at Risk-Konzept verstärkt Anwendung. Baut die Solvenzpolitik einer Bank auf dem Value at Risk-Konzept auf, müssen Aktiv- und Passivgeschäft der Bank simultan betrachtet werden. In einem Entscheidungsmodell für eine Bank werden die notwendige Eigenkapitalbasis und damit die Kapitalstruktur abgeleitet. Ganz entscheidenden Einfluss hat der vom Bankmanagement bzw. von der Bankenaufsicht geforderte Solvenzgrad.
- Language
-
Deutsch
- Bibliographic citation
-
Series: Dresden Discussion Paper Series in Economics ; No. 11/06
- Classification
-
Wirtschaft
Corporate Finance and Governance: Government Policy and Regulation
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
- Subject
-
Value at Risk
Eigenkapital
Risikomanagement
Bankmanagement
Value at Risk
- Event
-
Geistige Schöpfung
- (who)
-
Broll, Udo
Wahl, Jack E.
- Event
-
Veröffentlichung
- (who)
-
Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
- (where)
-
Dresden
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Broll, Udo
- Wahl, Jack E.
- Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
Time of origin
- 2006
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Information value, export and hedging
Dynamic Hedging of Real Wealth Risk
International investments and exchange rate risk
Cross hedging in currency forward markets
Credit risk and credit derivatives in banking
Mitigation of foreign Direct investment risk and hedging
Hedging export revenue risk using futures and options
Hedging of exchange rate risk and regression dependence
The firm under uncertainty: capital structure and background risk
Value at risk, bank equity and credit risk
Value at risk, Equity and Diversification
Market risk: Exponential weighting in the value-at-risk calculation
Information value, export and hedging
Dynamic Hedging of Real Wealth Risk
International investments and exchange rate risk
Cross hedging in currency forward markets
Credit risk and credit derivatives in banking
Mitigation of foreign Direct investment risk and hedging
Hedging export revenue risk using futures and options
Hedging of exchange rate risk and regression dependence