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.

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Year of publication:	2003
Authors:	Broll, Udo ; Wahl, Jack E.
Institutions:	Fakultät Wirtschaftswissenschaften, Technische Universität Dresden
Subject:	equity capital \| value at risk \| banking \| risk management \| asset/liability management \| credit risk

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Extent:	application/pdf
Series:	Dresden Discussion Paper Series in Economics. - ISSN 0945-4829.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 04/03
Classification:	G21 - Banks; Other Depository Institutions; Mortgages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009226211