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Value at risk, bank equity and credit risk

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  • Broll, Udo
  • Wahl, Jack E.
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    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. --

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    File URL: http://econstor.eu/bitstream/10419/48151/1/363575898.pdf
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    Bibliographic Info

    Paper 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 04/03.

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    Date of creation: 2003
    Date of revision:
    Handle: RePEc:zbw:tuddps:0403

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    Postal: 01062 Dresden
    Phone: ++49 351 463 2196
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    Web page: http://www.tu-dresden.de/wiwi/
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    Related research

    Keywords: equity capital; value at risk; banking; risk management; asset/liability management; credit risk;

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    1. Patricia Jackson & David Maude & William Perraudin, 1998. "Bank Capital and Value at Risk," Bank of England working papers, Bank of England 79, Bank of England.
    2. Katerina Simons, 2000. "Use of value at risk by institutional investors," New England Economic Review, Federal Reserve Bank of Boston, Federal Reserve Bank of Boston, issue Nov, pages 21-30.
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