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Albrecht, Peter; Huggenberger, Markus - 2015

Persistent link: https://www.econbiz.de/10014009195

Szenarioanalysen und Stresstests in der Bank- und Versicherungspraxis : regulatorische Anforderungen, Umsetzung, Steuerung

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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

Value at risk and bank capital management : [risk adjusted performances, capital management and capital allocation decision making]

Saita, Francesco - 2007

Persistent link: https://www.econbiz.de/10003551096

Finanzwirtschaftlich basierte Unternehmenssteuerung

Schwaiger, Walter S. A. - 2001 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001550516

Value at risk and bank capital management : [risk adjusted performances, capital management and capital allocation decision making]

Saita, Francesco - 2007

Front cover -- Title page -- Copyright page -- Table of contents -- Preface -- About the Book -- Acknowledgments -- Contributors -- CHAPTER 1: Value at Risk, Capital Management, and Capital Allocation -- 1.1 An Introduction to Value at Risk -- 1.2 Capital Management and Capital Allocation: The...