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商品詳細
Optimal Risk-Return Trade-Offs of Commercial Banks : and the Suitability of Profitability Measures for Loan Portfolios. 商業銀行の最適なリスクとリターンのトレードオフ
・ISBN 978-3-540-34819-1 soft EUR 49.99
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| 著者・編者 | Kühn, Jochen, |
|---|---|
| シリーズ | Lecture Notes in Economics and Mathematical Systems |
| 出版社 | (Springer, GW) |
| 出版年月 | 2006 |
| ページ数 | ix, 149 pp. |
| 言語 | ENG |
| ニュース番号 | ＜534-404＞ |
解説
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.