Banking Firm, Equity and Value at Risk

• Autorzy: Udo Broll , Anna Sobiech , Jack E. Wahl
• Języki publikacji: EN

Abstrakty

EN

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)

Słowa kluczowe

EN

Financial markets; VaR method; Ownership capital; Banking; Asset management; Diversification

PL

Rynki finansowe; Miernik ryzyka (VaR); Kapitał własny; Bankowość; Zarządzanie aktywami; Dywersyfikacja

• Czasopismo: Contemporary Economics
• Rocznik: 2012
• Tom: 6
• Numer: nr 4
• Strony: 50--53

Twórcy

autor

Udo Broll

• Dresden University of Technology, Germany

autor

Anna Sobiech

• Dresden University of Technology, Germany

autor

Jack E. Wahl

• Dortmund University of Technology, Germany

Bibliografia

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Identyfikatory

DOI

10.5709/ce.1897-9254.67