Value at risk, bank equity and credit risk

Research, Preprint OPEN
Broll, Udo; Wahl, Jack E.; (2003)
  • Publisher: Techn. Univ., Fak. Wirtschaftswiss. Dresden
  • Subject: value at risk | Bankrisiko | risk management | Kreditrisiko | credit risk | asset/liability management | Risikomanagement | G21 | equity capital | Eigenkapital | banking | equity capital,value at risk,banking,risk management,asset/liability management,credit risk | Bank | Risikoma├č | Theorie
    • jel: jel:G21
      ddc: ddc:330

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.... View more
Share - Bookmark