Optimal Risk-Return Trade-Offs of Commercial Banks
| Autor: | Jochen Kühn |
|---|---|
| EAN: | 9783540348214 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 28.09.2006 |
| Untertitel: | and the Suitability of Profitability Measures for Loan Portfolios |
| Kategorie: | |
| Schlagworte: | Basel I Basel II Commercial Bank Loan Portfolio Optimization Reward-to-Risk Ratio Risk-Return Trade-Off linear optimization |
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This book criticizes the fact that profitability measures derived from capital market models such as the Sharpe ratio and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade-offs are optimal for banks. The authors demonstrate that even the reward-to-VaR ratio, which is developed for valuating loan portfolios, can be highly misleading. They also show how market discipline, capital requirements, and insured deposits affect decision-making.
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