Resource title

Value at risk, Equity and Diversification

Resource image

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Resource description

The value at risk measure attempts to summarize in a single number market value risk of a portfolio of financial assets.The paper focuses on the interaction between the solvency probability of a bank, on one hand, and the diversification potential of its portfolio, on the other hand, when optimum endowment of equity capital is to be determined. Given the necessity to achieve some confidence level of solvency we demonstrate that diversification pays when optimizing the use of the equity resource.

Resource author

Udo Broll, Jack E. Wahl

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22730

Resource license

Adapt according to the presented license agreement and reference the original author.