Optimal Risk-Return Trade-Offs of Commercial Banks: and the Suitability of Profitability Measures for Loan Portfolios (2006) (Lecture Notes in Economics and Mathematical Systems #578)
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- Synopsis
- 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.
- Copyright:
- 2006
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9783540348214
- Related ISBNs:
- 9783540348191
- Publisher:
- Springer Berlin Heidelberg
- Date of Addition:
- 07/11/22
- Copyrighted By:
- N/A
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Business and Finance, Mathematics and Statistics
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.