Showing 1 - 10 of 13
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...
Persistent link: https://www.econbiz.de/10010305454
markets. However there exists a financial asset whose price is correlated with the relevant foreign currency. We present …
Persistent link: https://www.econbiz.de/10010300622
markets. However there exists a financial asset whose price is correlated with the relevant foreign currency. We present …
Persistent link: https://www.econbiz.de/10009226173
. For example, the nature of monotonicity of the indifference curve depends on the underlying mean. Price hedging decisions …
Persistent link: https://www.econbiz.de/10010301357
This paper examines the interplay between the real and financial decisions of the competitive firm under output price …
Persistent link: https://www.econbiz.de/10010301363
hedge against these risks. The paper develops a simple continuous-time dynamic model, where the evolution of asset price …, price level and futures price and hence real wealth is stochastic. For a risk averse investor, optimal consumption and …
Persistent link: https://www.econbiz.de/10010296789
Im Risikomanagement von Banken findet das Value at Risk-Konzept verstärkt Anwendung. Baut die Solvenzpolitik einer Bank …
Persistent link: https://www.econbiz.de/10010296809
Using a two-moment decision model this paper analyzes corporate hedging behavior in the presence of unified and differential income taxation. We start with the well-known result that risk-taking may increase when income tax rates increase and, therefore, the incentive for hedging reduces. We...
Persistent link: https://www.econbiz.de/10010296818
Basel II changes risk management in banks strongly. Internal rating procedures would lead one to expect that banks are changing over to active risk control. But, if risk management is no longer a simple "game against nature", if all agents involved are active players then a shift from a...
Persistent link: https://www.econbiz.de/10010296819
Im Risikomanagement von Banken findet das Value at Risk-Konzept verstärkt Anwendung. Baut die Solvenzpolitik einer Bank …
Persistent link: https://www.econbiz.de/10009226131