Coherent Banking Capital and Optimal Credit Portfolio Structure
Aachen University - Department of Finance
University of Braunschweig - Institute of Technology, Department of Finance
November 1, 2006
"Coherent" measures of a bank's whole risk capital imply a structure of a bank's optimal credit portfolio that is independent of its deposits and the expected deposit rate, of expected bankruptcy costs and of expected costs of regulatory capital.
Number of Pages in PDF File: 12
Keywords: Basel II, Coherent Risk Capital, Regulatory Capital, Separation
JEL Classification: G21, G28
Date posted: November 7, 2006
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