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Optimal risk-return trade-offs of commercial banks [electronic resource] : and the suitability of profitability measures for loan portfolios / Jochen Kühn

Author
Kuhn, Jochen
Published
Berlin : Springer-Verlag, [2006]
Copyright Date
©2006
Physical Description
1 online resource (ix, 149 pages) : illustrations
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Series
Contents
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.
Subject(s)
ISBN
9783540348214
3540348212
6610716978 (electronic bk.)
9786610716975 (electronic bk.)
3540348190 (pbk.)
9783540348191
Note
Originally presented as the author's thesis (doctoral).
AVAILABLE ONLINE TO AUTHORIZED PSU USERS.
Bibliography Note
Includes bibliographical references (pages [141]-149).
Reproduction Note
Electronic reproduction. Berlin : Springer, 2006. Mode of access: World Wide Web. Available via SpringerLink.
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