Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/48151
Authors: 
Broll, Udo
Wahl, Jack E.
Year of Publication: 
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

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