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Title:Value at risk, bank equity and credit risk PDF Logo
Authors:Broll, Udo
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.
Subjects:equity capital
value at risk
banking
risk management
asset/liability management
credit risk
JEL: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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