Coherent Banking Capital and Optimal Credit Portfolio Structure

12 Pages Posted: 7 Nov 2006  

Wolfgang Breuer

Aachen University - Department of Finance

Marc Gürtler

University of Braunschweig - Institute of Technology, Department of Finance

Date Written: 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.

Keywords: Basel II, Coherent Risk Capital, Regulatory Capital, Separation

JEL Classification: G21, G28

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

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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