Value at risk, bank equity and credit risk

Udo Broll and Jack E. Wahl

No 04/03, Dresden Discussion Paper Series in Economics from Technische Universität Dresden, Faculty of Business and Economics, Department of Economics

Abstract: 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 equity and asset/liability management has to be addressed simultaneously by bank managers.

Keywords: equity capital; value at risk; banking; risk management; asset/liability management; credit risk (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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