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Value at Risk, Bank Equity and Credit Risk

In: Risk Management

Author

Listed:
  • Jack E. Wahl

    (University of Dortmund)

  • Udo Broll

    (University of Dresden)

Abstract

We study the implications of the value at risk (VaR) concept for the optimum amount of equity capital of a banking firm in the presence of credit risk. As a risk management tool VaR allows to control for the probability of bankruptcy. It is shown that the required amount of equity capital depends upon managerial and market factors, and that equity and asset/liability management has to be addressed simultaneously.

Suggested Citation

  • Jack E. Wahl & Udo Broll, 2005. "Value at Risk, Bank Equity and Credit Risk," Springer Books, in: Michael Frenkel & Markus Rudolf & Ulrich Hommel (ed.), Risk Management, edition 0, pages 159-168, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-26993-9_8
    DOI: 10.1007/3-540-26993-2_8
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    Cited by:

    1. is not listed on IDEAS
    2. Udo Broll & B. Michael Gilroy & Elmar Lukas, 2007. "Managing Credit Risk With Credit Derivatives," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-13.
    3. Godbillon-Camus, Brigitte & Godlewski, Christophe, 2005. "Credit risk management in banks: Hard information, soft Information and manipulation," MPRA Paper 1873, University Library of Munich, Germany.

    More about this item

    Keywords

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    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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