Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights:
As a regulatory consequence banks today have to provide more equity for the same risk exposure than before the financial crisis. This significantly increases the banks' need for a strict risk-return driven management. However, the mere neoclassical risk management view appears inadequate in the...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin
Verlag Wissenschaft & Praxis
2020, c2015
|
| Ausgabe: | 1st ed |
| Schriftenreihe: | Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim
|
| Schlagworte: | |
| Online-Zugang: | URL des Erstveröffentlichers |
| Zusammenfassung: | As a regulatory consequence banks today have to provide more equity for the same risk exposure than before the financial crisis. This significantly increases the banks' need for a strict risk-return driven management. However, the mere neoclassical risk management view appears inadequate in the case of overall bank management. -- Consistently applying portfolio optimization on an overall bank level requires the consideration of the decision makers' behavior where portfolios cannot be assumed fix any longer. The current model shows this using a value at risk limit system strictly understanding limits as addressees' decision rights. -- Despite the resulting unstable correlations the model shows the overall bank management in the form of a global optimization being the superior approach. The model clearly demonstrates the costliness for banks dispensing with sophisticated limit setting |
| Beschreibung: | Duncker & Humblot GmbH |
| Beschreibung: | 1 Online-Ressource (216 Seiten) 29 b&w ills., 23 color ills., 22 b&w tables |
| ISBN: | 9783896447074 |
Internformat
MARC
| LEADER | 00000nmm a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV048194007 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 220502s2020 |||| o||u| ||||||eng d | ||
| 020 | |a 9783896447074 |9 978-3-89644-707-4 | ||
| 024 | 7 | |a 10.3790/978-3-89644-707-4 |2 doi | |
| 035 | |a (ZDB-54-DHP)9783896447074 | ||
| 035 | |a (DE-599)BVBBV048194007 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 100 | 1 | |a Müller, Jan |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights |c Jan Müller |
| 250 | |a 1st ed | ||
| 264 | 1 | |a Berlin |b Verlag Wissenschaft & Praxis |c 2020, c2015 | |
| 300 | |a 1 Online-Ressource (216 Seiten) |b 29 b&w ills., 23 color ills., 22 b&w tables | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim | |
| 500 | |a Duncker & Humblot GmbH | ||
| 520 | |a As a regulatory consequence banks today have to provide more equity for the same risk exposure than before the financial crisis. This significantly increases the banks' need for a strict risk-return driven management. However, the mere neoclassical risk management view appears inadequate in the case of overall bank management. -- Consistently applying portfolio optimization on an overall bank level requires the consideration of the decision makers' behavior where portfolios cannot be assumed fix any longer. The current model shows this using a value at risk limit system strictly understanding limits as addressees' decision rights. -- Despite the resulting unstable correlations the model shows the overall bank management in the form of a global optimization being the superior approach. The model clearly demonstrates the costliness for banks dispensing with sophisticated limit setting | ||
| 650 | 4 | |a Bayes | |
| 650 | 4 | |a Corporate Management | |
| 650 | 4 | |a Geldverteilung | |
| 650 | 4 | |a Riskomanagement | |
| 856 | 4 | 0 | |u https://elibrary.duncker-humblot.com/9783896447074 |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-54-DHP | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-033575141 | ||
Datensatz im Suchindex
| _version_ | 1804183952609509376 |
|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| author | Müller, Jan |
| author_facet | Müller, Jan |
| author_role | aut |
| author_sort | Müller, Jan |
| author_variant | j m jm |
| building | Verbundindex |
| bvnumber | BV048194007 |
| collection | ZDB-54-DHP |
| ctrlnum | (ZDB-54-DHP)9783896447074 (DE-599)BVBBV048194007 |
| edition | 1st ed |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02193nmm a2200373zc 4500</leader><controlfield tag="001">BV048194007</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">220502s2020 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783896447074</subfield><subfield code="9">978-3-89644-707-4</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.3790/978-3-89644-707-4</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-54-DHP)9783896447074</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV048194007</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Müller, Jan</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights</subfield><subfield code="c">Jan Müller</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">1st ed</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Berlin</subfield><subfield code="b">Verlag Wissenschaft & Praxis</subfield><subfield code="c">2020, c2015</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (216 Seiten)</subfield><subfield code="b">29 b&w ills., 23 color ills., 22 b&w tables</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Duncker & Humblot GmbH</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">As a regulatory consequence banks today have to provide more equity for the same risk exposure than before the financial crisis. This significantly increases the banks' need for a strict risk-return driven management. However, the mere neoclassical risk management view appears inadequate in the case of overall bank management. -- Consistently applying portfolio optimization on an overall bank level requires the consideration of the decision makers' behavior where portfolios cannot be assumed fix any longer. The current model shows this using a value at risk limit system strictly understanding limits as addressees' decision rights. -- Despite the resulting unstable correlations the model shows the overall bank management in the form of a global optimization being the superior approach. The model clearly demonstrates the costliness for banks dispensing with sophisticated limit setting</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Bayes</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Corporate Management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Geldverteilung</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Riskomanagement</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://elibrary.duncker-humblot.com/9783896447074</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-54-DHP</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-033575141</subfield></datafield></record></collection> |
| id | DE-604.BV048194007 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T19:44:53Z |
| indexdate | 2024-07-10T09:31:37Z |
| institution | BVB |
| isbn | 9783896447074 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033575141 |
| open_access_boolean | |
| physical | 1 Online-Ressource (216 Seiten) 29 b&w ills., 23 color ills., 22 b&w tables |
| psigel | ZDB-54-DHP |
| publishDate | 2020 |
| publishDateSearch | 2020 |
| publishDateSort | 2020 |
| publisher | Verlag Wissenschaft & Praxis |
| record_format | marc |
| series2 | Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim |
| spelling | Müller, Jan Verfasser aut Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights Jan Müller 1st ed Berlin Verlag Wissenschaft & Praxis 2020, c2015 1 Online-Ressource (216 Seiten) 29 b&w ills., 23 color ills., 22 b&w tables txt rdacontent c rdamedia cr rdacarrier Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim Duncker & Humblot GmbH As a regulatory consequence banks today have to provide more equity for the same risk exposure than before the financial crisis. This significantly increases the banks' need for a strict risk-return driven management. However, the mere neoclassical risk management view appears inadequate in the case of overall bank management. -- Consistently applying portfolio optimization on an overall bank level requires the consideration of the decision makers' behavior where portfolios cannot be assumed fix any longer. The current model shows this using a value at risk limit system strictly understanding limits as addressees' decision rights. -- Despite the resulting unstable correlations the model shows the overall bank management in the form of a global optimization being the superior approach. The model clearly demonstrates the costliness for banks dispensing with sophisticated limit setting Bayes Corporate Management Geldverteilung Riskomanagement https://elibrary.duncker-humblot.com/9783896447074 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Müller, Jan Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights Bayes Corporate Management Geldverteilung Riskomanagement |
| title | Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights |
| title_auth | Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights |
| title_exact_search | Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights |
| title_exact_search_txtP | Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights |
| title_full | Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights Jan Müller |
| title_fullStr | Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights Jan Müller |
| title_full_unstemmed | Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights Jan Müller |
| title_short | Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights |
| title_sort | optimal economic capital allocation in banking on the basis of decision rights |
| topic | Bayes Corporate Management Geldverteilung Riskomanagement |
| topic_facet | Bayes Corporate Management Geldverteilung Riskomanagement |
| url | https://elibrary.duncker-humblot.com/9783896447074 |
| work_keys_str_mv | AT mullerjan optimaleconomiccapitalallocationinbankingonthebasisofdecisionrights |