Banking Firm, Equity and Value at Risk
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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Economics and Human Sciences in Warsaw
2012-12-01
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| Series: | Contemporary Economics |
| Online Access: | http://ce.vizja.pl/en/download-pdf/id/269 |
| _version_ | 1797426938964344832 |
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| author | Udo Broll Anna Sobiech Jack E. Wahl |
| author_facet | Udo Broll Anna Sobiech Jack E. Wahl |
| author_sort | Udo Broll |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-09T08:37:05Z |
| format | Article |
| id | doaj.art-a211de6e4ae04974b15cd0ff69f11bbc |
| institution | Directory Open Access Journal |
| issn | 2084-0845 |
| language | English |
| last_indexed | 2024-03-09T08:37:05Z |
| publishDate | 2012-12-01 |
| publisher | University of Economics and Human Sciences in Warsaw |
| record_format | Article |
| series | Contemporary Economics |
| spelling | doaj.art-a211de6e4ae04974b15cd0ff69f11bbc2023-12-02T17:52:59ZengUniversity of Economics and Human Sciences in WarsawContemporary Economics2084-08452012-12-016416010.5709/ce.1897-9254.67Banking Firm, Equity and Value at RiskUdo BrollAnna SobiechJack E. WahlThe 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.http://ce.vizja.pl/en/download-pdf/id/269 |
| spellingShingle | Udo Broll Anna Sobiech Jack E. Wahl Banking Firm, Equity and Value at Risk Contemporary Economics |
| title | Banking Firm, Equity and Value at Risk |
| title_full | Banking Firm, Equity and Value at Risk |
| title_fullStr | Banking Firm, Equity and Value at Risk |
| title_full_unstemmed | Banking Firm, Equity and Value at Risk |
| title_short | Banking Firm, Equity and Value at Risk |
| title_sort | banking firm equity and value at risk |
| url | http://ce.vizja.pl/en/download-pdf/id/269 |
| work_keys_str_mv | AT udobroll bankingfirmequityandvalueatrisk AT annasobiech bankingfirmequityandvalueatrisk AT jackewahl bankingfirmequityandvalueatrisk |