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Coherent Banking Capital and Optimal Credit Portfolio Structure


Wolfgang Breuer


Aachen University - Department of Finance

Marc Gürtler


University of Braunschweig - Institute of Technology, Department of Finance
November 1, 2006


Abstract:     
"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

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Date posted: November 7, 2006  

Suggested Citation

Breuer, Wolfgang and Gürtler, Marc, Coherent Banking Capital and Optimal Credit Portfolio Structure (November 1, 2006). Available at SSRN: http://ssrn.com/abstract=942742 or http://dx.doi.org/10.2139/ssrn.942742

Contact Information

Wolfgang Breuer (Contact Author)
Aachen University - Department of Finance ( email )
Templergraben 55
D-52056 Aachen, 52056
Germany
Marc Gürtler
University of Braunschweig - Institute of Technology, Department of Finance ( email )
Abt-Jerusalem-Str. 7
Braunschweig, 38106
Germany
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