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Coherent banking capital and optimal credit portfolio structure

Author

Listed:
  • Breuer, Wolfgang
  • Gürtler, Marc

Abstract

Coherent measures of a bank's whole risk capital imply a structure of a bank's optimal credit portfolio that is independent of its deposits and the expected deposit rate, of expected bankruptcy costs and of expected costs of regulatory capital.

Suggested Citation

  • Breuer, Wolfgang & Gürtler, Marc, 2006. "Coherent banking capital and optimal credit portfolio structure," Working Papers FW21V2, Technische Universität Braunschweig, Institute of Finance.
    • Handle: RePEc:zbw:tbsifw:fw21v2
    as

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    References listed on IDEAS

    as
    1. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 25(2), pages 65-86.
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    More about this item

    Keywords

    Basel II; Regulatory Capital; Coherent Risk Capital; Separation;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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