Kühn, J: Optimal Risk-Return Trade-Offs of Commercial Banks
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...
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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.
- Autor: Jochen Kühn
- 2006, X, 152 Seiten, Maße: 15,7 x 23,9 cm, Kartoniert (TB), Englisch
- Verlag: Springer Berlin
- ISBN-10: 3540348190
- ISBN-13: 9783540348191
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