Abstract
In recent years, value at risk (VaR) has become a heavily used risk management tool in the banking sector. Roughly speaking, the value at risk of a portfolio is the loss in market value over a risk horizon that is exceeded with a small probability. Bank management can apply the value at risk concept to set capital requirements because VaR models allow for an estimate of capital loss due to market risk (see, e.g. Duffie/Pan, 1997; Jackson/Maude/Perraudin, 1997; Jorion, 1997; Saunders, 1999; Friedmann/Sanddorf-Köhle, 2000; Hartmann-Wendels/Pfingsten/Weber, 2000; Simons, 2000). The aim of our study is to answer the question what is the optimum amount of equity capital of a banking firm under the value at risk concept?
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© 2002 Betriebswirtschaftlicher Verlag Dr. Th. Gabler GmbH, Wiesbaden
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Broll, U., Wahl, J.E. (2002). Optimum Bank Equity Capital and Value at Risk. In: Scholz, C., Zentes, J. (eds) Strategic Management. Gabler Verlag. https://doi.org/10.1007/978-3-322-84457-6_5
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DOI: https://doi.org/10.1007/978-3-322-84457-6_5
Publisher Name: Gabler Verlag
Print ISBN: 978-3-322-84458-3
Online ISBN: 978-3-322-84457-6
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