Value at Risk and Bank Equity / Value at Risk und Eigenkapitalausstattung von Banken

Broll Udo () and Wahl Jack E. ()
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Broll Udo: Lehrstuhl für Internationale Wirtschaftsbeziehungen, Universität des Saarlandes, D-66041 Saarbrücken
Wahl Jack E.: Lehrstuhl für Investition und Finanzierung, Universität Dortmund, D-44221 Dortmund

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2003, vol. 223, issue 2, 129-135

Abstract: The value at risk measure has become a widespread risk management concept in many different types of financial organizations. The value at risk concept is the attempt to summarize in a single number the return risk in a portfolio of financial assets. This paper studies the impact of the value at risk approach on required equity capital of a banking firm. Value at risk is a measure of risk based on a probability of loss and time in which this loss can be expected to occur. We demonstrate that managerial and market factors determine optimal asset liability and equity policy of the bank. It is shown that the probability of bankruptcy has a complex impact upon the decision making of bank management.

Keywords: Value at risk; Eigenkapital; Banken; Risikomanagment; Asset/Liability Management; Value at risk; equity capital; banking; risk managment; asset liability management; Value at risk; Eigenkapital; Banken; Risikomanagment; Asset/Liability Management (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:223:y:2003:i:2:p:129-135

DOI: 10.1515/jbnst-2003-0202

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