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.
Publisher:	Dresden : Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
Subject:	Bank \| Eigenkapital \| Kreditrisiko \| Bankrisiko \| Risikomanagement \| Theorie \| Risikomaß \| equity capital \| value at risk \| banking \| risk management \| asset/liability management \| credit risk

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Series:	Dresden Discussion Paper Series in Economics ; 04/03
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	822343355 [GVK] hdl:10419/48151 [Handle] RePEc:zbw:tuddps:0403 [RePEc]
Classification:	G21 - Banks; Other Depository Institutions; Mortgages
Source:	EconStor

Persistent link: https://www.econbiz.de/10010305454