| 书目名称 | Optimal Risk-Return Trade-Offs of Commercial Banks | | 副标题 | and the Suitability | | 编辑 | Jochen Kühn | | 视频video | | | 丛书名称 | Lecture Notes in Economics and Mathematical Systems | | 图书封面 |  | | 描述 | 1.1 Problem Statement and Research Question Active loan portfolio management is becoming more and more imp- tant. In the year 2004, European banks sold credits worth EUR 249 billion. Big deals were made by the German banks Hypo Real Estate (EUR 3.6 billion) and Dresdner Bank (EUR 1.2 billion). In addition, credit exchanges were established which made loans more liquid. For example, in October 2004 the German “Deutsche Kredit-B¨ orse” was established, which focuses on trading loans assigned to medium-size businesses. It is empirically shown that active loan portfolio management can 1 be very pro?table. However, a precondition to bene?t from active loan portfolio management is having knowledge about valuating loan po- folios. Shareholders can steadily bene?t from such transactions only if banks valuate loan portfolios correctly. This is this dissertation’s mo- vation for dealing with pro?tability measures for loan portfolios. Nowadays, banks measure the pro?tability of loan portfolios p- marily by calculating the return on risk adjusted capital (RORAC). Here return is the expected pro?t after re?nancing and operational costs. Risk adjusted capital, more frequently called economic cap | | 出版日期 | Book 2006 | | 关键词 | Basel I; Basel II; Commercial Bank; Loan Portfolio Optimization; Reward-to-Risk Ratio; Risk-Return Trade- | | 版次 | 1 | | doi | https://doi.org/10.1007/3-540-34821-2 | | isbn_softcover | 978-3-540-34819-1 | | isbn_ebook | 978-3-540-34821-4Series ISSN 0075-8442 Series E-ISSN 2196-9957 | | issn_series | 0075-8442 | | copyright | Springer-Verlag Berlin Heidelberg 2006 |
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发表于 2025-3-21 18:37:51
