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Optimal Risk-Return Trade-Offs of Commercial Banks

- and the Suitability of Profitability Measures for Loan Portfolios

Bag om Optimal Risk-Return Trade-Offs of Commercial Banks

This book criticizes the fact that profitability measures derived from capital market models such as the Sharpe ratio and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade-offs are optimal for banks.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783540348191
  • Indbinding:
  • Paperback
  • Sideantal:
  • 152
  • Udgivet:
  • 14. August 2006
  • Udgave:
  • 2006
  • Størrelse:
  • 234x156x8 mm.
  • Vægt:
  • 530 g.
  • 8-11 hverdage.
  • 8. Oktober 2024

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Beskrivelse af Optimal Risk-Return Trade-Offs of Commercial Banks

This book criticizes the fact that profitability measures derived from capital market models such as the Sharpe ratio and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade-offs are optimal for banks.

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