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Banking firm, equity and value at risk
Broll, Udo; Sobiech, Anna; Wahl, Jack E. - In: Contemporary economics 6 (2012) 4, pp. 50-53
The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking...
Persistent link: https://www.econbiz.de/10009768157
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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
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Risk sharing markets and hedging a loan portfolio: a note
Broll, Udo; Guo, Xu; Welzel, Peter - In: Economics and business review 3 (2017) 4, pp. 47-54
Persistent link: https://www.econbiz.de/10011795807
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Market risk, value-at-risk and exponential weighting
Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91
Persistent link: https://www.econbiz.de/10013369763
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Differential taxation and corporate futures-hedging
Wahl, Jack E.; Broll, Udo - In: FinanzArchiv : European journal of public finance 63 (2007) 4, pp. 583-590
Persistent link: https://www.econbiz.de/10003636368
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Differential taxation and corporate futures-hedging
Wahl, Jack E. (contributor); Broll, Udo (contributor) - 2007
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/10003481308
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The new Basel accord and the nature of risk : a game theoretic perspective
Bieta, Volker; Broll, Udo; Milde, Hellmuth; Siebe, Wilfried - 2007
- game theory is a useful set of tools for better understanding different risk settings. Embedded in a short history of the … Basel Accord in this article we introduce some basic ideas of game theory in the context of rating procedures in accordance … with Basel II. As well, some insight is given how game theory works. Here, the primary value of game theory stems from its …
Persistent link: https://www.econbiz.de/10003481314
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Managing credit risk with credit derivatives
Broll, Udo; Gilroy, Bernard Michael; Lukas, Elmar - 2005
Persistent link: https://www.econbiz.de/10003141795
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Managing sovereign credit risk with derivatives
Broll, Udo; Gilroy, Bernard Michael - In: Sovereign risk and financial crises ; with 40 tables, (pp. 113-124). 2004
Persistent link: https://www.econbiz.de/10002172697
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Managing credit risk with credit and macro derivatives
Broll, Udo; Schweimayer, Gerhard; Welzel, Peter - In: Schmalenbach business review : sbr 56 (2004) 4, pp. 360-378
Persistent link: https://www.econbiz.de/10002343850