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Bankmanagement mit Value at Risk

Author

Listed:
  • Broll, Udo
  • Wahl, Jack E.

Abstract

Im Risikomanagement von Banken findet das Value at Risk-Konzept verstärkt Anwendung. Baut die Solvenzpolitik einer Bank auf dem Value at Risk-Konzept auf, müssen Aktiv- und Passivgeschäft der Bank simultan betrachtet werden. In einem Entscheidungsmodell für eine Bank werden die notwendige Eigenkapitalbasis und damit die Kapitalstruktur abgeleitet. Ganz entscheidenden Einfluss hat der vom Bankmanagement bzw. von der Bankenaufsicht geforderte Solvenzgrad.

Suggested Citation

  • Broll, Udo & Wahl, Jack E., 2006. "Bankmanagement mit Value at Risk," Dresden Discussion Paper Series in Economics 11/06, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    • Handle: RePEc:zbw:tuddps:1106
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    File URL: https://www.econstor.eu/bitstream/10419/22738/1/DDPE200611.pdf
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    More about this item

    Keywords

    Value at Risk; Eigenkapital; Risikomanagement;
    All these keywords.

    JEL classification:

    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
    • 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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