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Title:Value at risk, Equity and Diversification PDF Logo
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

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