Optimal Risk-Return Trade-Offs of Commercial Banks and the Suitability of Profitability Measures for Loan Portfolios /

• Κύριος συγγραφέας: Kühn, Jochen (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.
• Σειρά: Lecture Notes in Economics and Mathematical Systems, 578
• Θέματα: Finance.; Mathematics.; Economics, Mathematical.; Economics.; Management science.; Economics, general.; Mathematics, general.; Finance, general.; Quantitative Finance.

The present 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 assessed whether their risk-return trade-offs are optimal for banks. This volume intends to fil...

Πίνακας περιεχομένων:

• Risk Measures
• Asset Pricing
• Reward-to-Risk Ratios
• Effects of Risk-Taking in Commercial Banks
• Risk-Return Trade-Offs for Commercial Banks
• Deposits and the Risk-Return Trade-Off
• Profitability Measures for Loan Portfolios
• Conclusion.