Value at risk, bank equity and credit risk

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Dresden Discussion Paper Series in Economics ; No. 04/03

Classification and Topics

• Classification: Wirtschaft ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: equity capital ; value at risk ; banking ; risk management ; asset/liability management ; credit risk ; Bank ; Eigenkapital ; Kreditrisiko ; Bankrisiko ; Risikomanagement ; Theorie ; Risikomaß

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Broll, Udo ; Wahl, Jack E.
• Event: Veröffentlichung
• (who): Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
• (where): Dresden
• (when): 2003

Further information

• Handle: http://hdl.handle.net/10419/48151
• Last update: 10.03.2025, 11:44 AM CET