Arbeitspapier
Value at risk, bank equity and credit risk
We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's equity and asset/liability management has to be addressed simultaneously by bank managers.
- Sprache
-
Englisch
- Erschienen in
-
Series: Dresden Discussion Paper Series in Economics ; No. 04/03
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
equity capital
value at risk
banking
risk management
asset/liability management
credit risk
Bank
Eigenkapital
Kreditrisiko
Bankrisiko
Risikomanagement
Theorie
Risikomaß
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Broll, Udo
Wahl, Jack E.
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
- (wo)
-
Dresden
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Broll, Udo
- Wahl, Jack E.
- Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
Entstanden
- 2003
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