Optimal risk-return trade-offs of commercial banks : and the suitability of profitability measures for loan portfolios
著者
書誌事項
Optimal risk-return trade-offs of commercial banks : and the suitability of profitability measures for loan portfolios
（Lecture notes in economics and mathematical systems, 578）
Springer, c2006
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注記
Includes bibliographical references (p. [141]-149)
内容説明・目次
内容説明
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.
目次
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.
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