Value at risk, Equity and Diversification
AbstractThe 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. --
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Bibliographic InfoPaper provided by Dresden University of Technology, Faculty of Business and Economics, Department of Economics in its series Dresden Discussion Paper Series in Economics with number 03/06.
Date of creation: 2006
Date of revision:
equity capital; banking; value at risk; diversification; risk management; asset-liability management;
Find related papers by JEL classification:
- G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Broll, Udo & Wahl, Jack E. & Zilcha, Itzhak, 1999. "Hedging exchange rate risk: The multiperiod case," Research in Economics, Elsevier, vol. 53(4), pages 365-380, December.
- Udo Broll & Jack E. Wahl & Wing-Keung Wong, 2005.
"Elasticity of risk aversion and international trade,"
Development Research Unit Working Paper Series
07/05, Monash University, Department of Economics.
- Broll, Udo & Wahl, Jack E. & Wong, Wing-Keung, 2006. "Elasticity of risk aversion and international trade," Economics Letters, Elsevier, vol. 92(1), pages 126-130, July.
- Udo Broll & Jack E. Wahl & Wing-Keung Wong, 2005. "Elasticity of risk aversion and international trade," Departmental Working Papers wp0510, National University of Singapore, Department of Economics.
- Katerina Simons, 2000. "Use of value at risk by institutional investors," New England Economic Review, Federal Reserve Bank of Boston, issue Nov, pages 21-30.
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