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Optimal Risk-Return Trade-Offs of Commercial Banks

Optimal Risk-Return Trade-Offs of Commercial Banks

Jochen Kühn

66,89 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2006
Materia
Finanzas
ISBN:
9783540348191
66,89 €
IVA incluido
Disponible

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Sobre IBD

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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