Optimal Risk-Return Trade-Offs of Commercial Banks E-Book

Jochen Kuhn

• Herausgeber: Springer Berlin
• Kategorie: Fachliteratur
• Serie: Lecture Notes in Economics and Mathematical Systems
• Sprache: Englisch
• Veröffentlichungsjahr: 2006

Beschreibung

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.