Optimal Risk-Return Trade-Offs of Commercial Banks: and the Suitability of Profitability Measures for Loan Portfolios (Lecture Notes in Economics and Mathematical Systems)
Language: English
Published by Springer Berlin Heidelberg 2008-10-10, 2008
Series: Book 16 of 126 - Lecture Notes in Economics and Mathematical Systems
- Softcover
- New
Seller: Chiron Media, Wallingford, United KingdomChiron Media
AbeBooks seller since August 2, 2010
Condition: New
£ 47.47
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- Title
- Optimal Risk-Return Trade-Offs of Commercial Banks: and the Suitability of Profitability Measures for Loan Portfolios (Lecture Notes in Economics and Mathematical Systems)
- Author
- Jochen Kuhn
- Publisher
- Springer Berlin Heidelberg 2008-10-10
- Publication year
- 2008
- Condition
- New
- Binding
- Paperback
- Language
- English
- ISBN 10
- 3540348190
- ISBN 13
- 9783540348191
- Series
- Book 16 of 126: Lecture Notes in Economics and Mathematical Systems
"Synopsis" may belong to another edition of this title.
From the Back Cover
The present 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 assessed whether their risk-return trade-offs are optimal for banks. This volume intends to fill this gap.
The approach of this work is to endogenously derive optimal risk-return trade-offs of commercial banks and to compare them with those of reward-to-risk ratios. The risk-return trade-offs for banks are derived taking into account market discipline, Basel I and Basel II regulatory capital requirements, and insured deposits.
It is found that even the reward-to-VaR ratio, which is explicitly developed for the purpose of valuating loan portfolios, can be highly misleading. The volume also helps in understanding risk management motives of banks, in particular, how market discipline, capital requirements, and insured deposits affect the decision-making of banks.
"About the title" may belong to another edition of this title.
Chiron Media
Wallingford, United Kingdom
AbeBooks seller since August 2, 2010
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