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Fakultät Wirtschaftswissenschaften, Technische Universität Dresden >
Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden >
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|Title:||Value at risk, bank equity and credit risk |
Wahl, Jack E.
|Issue Date:||2003 |
|Series/Report no.:||Dresden discussion paper in economics 04/03|
|Abstract:||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.|
value at risk
|Document Type:||Working Paper|
|Appears in Collections:||Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden|
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