Coherent banking capital and optimal credit portfolio structure

Wolfgang Breuer and Marc Gürtler

No FW21V2, Working Papers from Technische Universität Braunschweig, Institute of Finance

Abstract: Coherent measures of a bank's whole risk capital imply a structure of a bank's optimal credit portfolio that is independent of its deposits and the expected deposit rate, of expected bankruptcy costs and of expected costs of regulatory capital.

Keywords: Basel II; Regulatory Capital; Coherent Risk Capital; Separation (search for similar items in EconPapers)
JEL-codes: G21 G28 (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/55257/1/684918072.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:tbsifw:fw21v2

Access Statistics for this paper

More papers in Working Papers from Technische Universität Braunschweig, Institute of Finance Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().