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文章基本信息

  • 标题:Banking Firm, Equity and Value at Risk
  • 作者:Udo Broll ; Anna Sobiech ; Jack E. Wahl
  • 期刊名称:Contemporary Economics
  • 印刷版ISSN:2084-0845
  • 出版年度:2012
  • 卷号:6
  • 期号:4
  • 页码:50-53
  • 语种:English
  • 出版社:VIZJA Press & IT
  • 其他摘要:The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking firm facing the risk of asset return. Given the necessity to achieve a confidence level for solvency, we demonstrate that diversification reduces the amount of equity. Notably, the VaR concept excludes a separation of equity policy and asset-liability management. (original abstract)
  • 关键词:Financial markets; VaR method; Ownership capital; Banking; Asset management; Diversification; Rynki finansowe; Miernik ryzyka (VaR); Kapitał własny; Bankowość; Zarządzanie aktywami; Dywersyfikacja
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