Optimal risk-return trade-offs of commercial banks : and the suitability of profitability measures for loan portfolios /
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| Author / Creator: | Kuhn, Jochen. |
|---|---|
| Imprint: | Berlin : Springer-Verlag, c2006. |
| Description: | 1 online resource (ix, 149 p.) : ill. |
| Language: | English |
| Series: | Lecture notes in economics and mathematical systems, 0075-8442 ; 578 Lecture notes in economics and mathematical systems ; 578. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/8880141 |
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| 100 | 1 | |a Kuhn, Jochen. |0 http://id.loc.gov/authorities/names/n83069308 |1 http://viaf.org/viaf/67000166 | |
| 245 | 1 | 0 | |a Optimal risk-return trade-offs of commercial banks : |b and the suitability of profitability measures for loan portfolios / |c Jochen Kühn. |
| 260 | |a Berlin : |b Springer-Verlag, |c c2006. | ||
| 300 | |a 1 online resource (ix, 149 p.) : |b ill. | ||
| 336 | |a text |b txt |2 rdacontent |0 http://id.loc.gov/vocabulary/contentTypes/txt | ||
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| 490 | 1 | |a Lecture notes in economics and mathematical systems, |x 0075-8442 ; |v 578 | |
| 500 | |a Originally presented as the author's thesis (doctoral). | ||
| 504 | |a Includes bibliographical references (p. [141]-149). | ||
| 505 | 0 | |a Cover -- Contents -- 1 Introduction -- 1.1 Problem Statement and Research Question -- 1.2 Outline of the Dissertation -- 2 Risk Measures -- 2.1 Defining Risk -- 2.2 Variance and Standard Deviation -- 2.3 Early Downside Risk Measures -- 2.4 Lower Partial Moment -- 2.5 Value at Risk -- 2.6 Expected Shortfall -- 3 Asset Pricing -- 3.1 Market Price of Assets -- 3.2 Systematic Risk -- 3.3 Models Using Beta Representations -- 3.4 Market Price of Equity as the Target Figure of Firms -- 4 Reward-to-Risk Ratios -- 4.1 Sharpe Ratio -- 4.2 Reward-to-Shortfall Ratios -- 4.3 Measures Based on Economic Capital -- 4.4 Measures Based on Portfolio Models of Banks -- 5 Effects of Risk-Taking in Commercial Banks -- 5.1 The Neoclassical Finance Theory -- 5.2 Benefits of Risk-Taking -- 5.3 Costs of Risk-Taking -- 5.3.1 Agency Costs -- 5.3.2 Market Discipline -- 5.3.3 Capital Market Imperfections -- 5.3.4 Taxes -- 5.3.5 Regulatory Capital Requirements -- 6 Risk-Return Trade-Offs for Commercial Banks -- 6.1 Approach -- 6.2 Assumptions -- 6.3 Solving Method and Parameter Values -- 6.4 Disciplining by Debtholders -- 6.5 Optimal Risk-Return Trade-Offs -- 6.5.1 Baseline Model -- 6.5.2 Modeling Regulatory Constraints -- 6.5.3 Modeling a Fixed Portfolio Volume -- 6.6 Findings -- 7 Deposits and the Risk-Return Trade-Off -- 7.1 Extending the Models -- 7.2 Influence of Deposits -- 7.2.1 Baseline Model with Deposits -- 7.2.2 Modeling Regulatory Constraints with Deposits -- 7.2.3 Modeling a Fixed Portfolio Volume with Deposits -- 7.3 Findings -- 8 Profitability Measures for Loan Portfolios -- 8.1 Comparison of the Risk-Return Trade-Offs -- 8.2 Findings -- 9 Conclusion -- 9.1 Summary -- 9.2 Limitations -- 9.3 Implications -- A Derivations for Chapters 2 to 5 -- A.1 Expected Shortfall -- A.2 Covariance -- A.3 Effcient Frontier -- A.4 Froot et al. (1993) -- B Derivations for Chapters 6 and 7 -- B.1 Parameters as Functions of Return Moments -- B.2 Density Functions -- B.3 Participation Conditions -- B.4 Specification of Equity Value and Debt Value -- B.5 Debtholders' Necessary Participation Condition -- B.6 Relation of Debt to Equity -- B.7 Density Function of the Free Cash Flow with Deposits -- References -- Last Page. | |
| 588 | |a Description based on print version record. | ||
| 650 | 0 | |a Portfolio management |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh2008109870 | |
| 650 | 0 | |a Investments |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh85067718 | |
| 650 | 0 | |a Risk management |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh2008110811 | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 1 | 7 | |a Portfolio-analyse. |2 gtt |
| 650 | 1 | 7 | |a Risk management. |2 gtt |
| 650 | 1 | 7 | |a Bankwezen. |2 gtt |
| 655 | 4 | |a Electronic books. | |
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| 650 | 7 | |a Portfolio management |x Mathematical models. |2 fast |0 http://id.worldcat.org/fast/fst01072082 | |
| 650 | 7 | |a Risk management |x Mathematical models. |2 fast |0 http://id.worldcat.org/fast/fst01098179 | |
| 776 | 0 | 8 | |i Print version: |a Kühn, Jochen. |t Optimal risk-return trade-offs of commercial banks. |d Berlin : Springer-Verlag, c2006 |z 3540348190 |z 9783540348191 |w (OCoLC)71305764 |
| 830 | 0 | |a Lecture notes in economics and mathematical systems ; |v 578. |x 0075-8442 | |
| 856 | 4 | 0 | |u http://dx.doi.org/10.1007/3-540-34821-2 |y SpringerLink |
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