- Author
- Broll Udo (Dresden University of Technology, Germany), Sobiech Anna (Dresden University of Technology, Germany), Wahl Jack E. (Dortmund University of Technology, Germany)
- Title
- Banking Firm, Equity and Value at Risk
- Source
- Contemporary Economics, 2012, vol. 6, nr 4, s. 50-53, bibliogr. 13 poz.
- Keyword
- Bankowość, Rynki finansowe, Miernik ryzyka (VaR), Kapitał własny, Zarządzanie aktywami, Dywersyfikacja
Banking, Financial markets, VaR method, Ownership capital, Asset management, Diversification - Note
- summ.
- Abstract
- 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. (original abstract)
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- Bibliography
-
- Bessis, J. (2002). Risk management in banking. Chichester, UK: John Wiley & Sons.
- Broll, U., Eckwert, B., Eickhoff, A. (2012). Financial intermediation and endogenous risk in the banking sector. Economic Modelling, 29(5), 1618-1622.
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- Freixas, X., Rochet, J.-C. (2008). Microeconomics of banking. Cambridge, MA: The MIT Press.
- Frenkel, M., Hommel, U., Rudolf, M. (2005). Risk management: challenge and opportunity, Berlin: Springer Verlag.
- Greenbaum, S. I., Thakor, A. V. (2007). Contemporary financial intermediation. Forth Worth, TX: Academic Press.
- Jorion, P. (2006). Value at risk: the new benchmark for controlling market risk. New York, NY: McGraw-Hill.
- Saunders, A., Allen, L. (2002). Credit risk measurement: new approaches to value at risk and other paradigms, New York, NY: Willey and Sons.
- Simons, K. (2000). The use of value at risk by institutional investors, New England Economic Review, Nov./Dec., 21-30.
- Wong, K. P. (1997). On the determinants of bank interest margin under credit and interest rate risks. Journal of Banking and Finance, 21(2), 251-271.
- Wong, K. P. (2011). Regret theory and the banking firm: The optimal bank interest margin. Economic Modelling, 28(6), 2483-2487.
- Cited by
- ISSN
- 2084-0845
- Language
- eng
- URI / DOI
- http://dx.doi.org/10.5709/ce.1897-9254.67
