12 Pages Posted: 7 Nov 2006
Date Written: 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.
Keywords: Basel II, Coherent Risk Capital, Regulatory Capital, Separation
JEL Classification: G21, G28
Suggested Citation: Suggested Citation
Breuer, Wolfgang and Gürtler, Marc, Coherent Banking Capital and Optimal Credit Portfolio Structure (November 1, 2006). Available at SSRN: https://ssrn.com/abstract=942742 or http://dx.doi.org/10.2139/ssrn.942742