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Value at risk, bank equity and credit risk

Broll, Udo; Wahl, Jack E. - 2003

Persistent link: https://www.econbiz.de/10001755540

Managing credit risk with credit and macro derivatives

Broll, Udo (contributor); Schweimayer, Gerhard (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001838232

Risikomanagement mit Kreditoptionen

Broll, Udo (contributor); Welzel, Peter (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001727222

A note on hedging a loan porfolio

Broll, Udo (contributor); Welzel, Peter (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001807907

Bankrisiko und Risikosteuerung mit Derivaten

Broll, Udo (contributor); Welzel, Peter (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001693182

Credit risk and credit derivatives in banking

Broll, Udo (contributor); Welzel, Peter (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001693183

Managing credit risk with credit derivatives

Broll, Udo; Gilroy, Bernard Michael; Lukas, Elmar - 2005

Persistent link: https://www.econbiz.de/10003141795

Value at risk, bank equity and credit risk

Broll, Udo; Wahl, Jack E. - 2003

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/10010507748

Zinsänderungsrisiken : optimaler Einsatz von Futures beim Risikomanagement der Banken

Broll, Udo; Jaenicke, Johannes - 1998

Persistent link: https://www.econbiz.de/10013428233