期刊名称：Dresden Discussion Paper Series in Economics / Dresden University of Technology, Faculty of Business Management and Economics
印刷版ISSN：0945-4829
出版年度：2006
卷号：1
出版社：Dresden
摘要：The value at risk measure attempts to summarize in a single number market value risk of a portfolio of financial assets.
The paper focuses on the interaction between the solvency probability of a bank, on one hand, and the diversification
potential of its portfolio, on the other hand, when optimum endowment of equity capital is to be determined. Given the
necessity to achieve some confidence level of solvency we demonstrate that diversification pays when optimizing the
use of the equity resource.
关键词：equity capital; banking; value at risk; diversification; risk management; asset-liability management
