Value at risk, Equity and Diversification
The 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.
|Date of creation:||2006|
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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,"
Monash Economics Working Papers
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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