|
EconStor >
Technische Universität Dresden >
Fakultät Wirtschaftswissenschaften, Technische Universität Dresden >
Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22730
|
| | |
| Title: | | Value at risk, Equity and Diversification  |
| Authors: | | Broll, Udo Wahl, Jack E. |
| Issue Date: | | 2006 |
| Series/Report no.: | | Dresden discussion paper in economics 03/06 |
| Abstract: | | The value at risk measure attempts to summarize in a single number market value risk of a portfolio of financial assets.The paper focuses on the interaction between the solvency probability of a bank, on one hand, and the diversification potential of its portfolio, on the other hand, when optimum endowment of equity capital is to be determined. Given the necessity to achieve some confidence level of solvency we demonstrate that diversification pays when optimizing the use of the equity resource. |
| Subjects: | | equity capital banking value at risk diversification risk management asset-liability management |
| JEL: | | G38 G28 G21 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/22730
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|