Value at Risk, Bank Equity and Credit Risk

Jack E. Wahl and Udo Broll ()
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Jack E. Wahl: University of Dortmund
Udo Broll: University of Dresden

A chapter in Risk Management, 2005, pp 159-168 from Springer

Abstract: Abstract We study the implications of the value at risk (VaR) concept for the optimum amount of equity capital of a banking firm in the presence of credit risk. As a risk management tool VaR allows to control for the probability of bankruptcy. It is shown that the required amount of equity capital depends upon managerial and market factors, and that equity and asset/liability management has to be addressed simultaneously.

Keywords: Equity Capital; Value at Risk (VaR); Banking; Risk Management; Asset/Liability; Management; Credit Risk; Risk Regulations (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-26993-9_8

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DOI: 10.1007/3-540-26993-2_8

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