haku: @author Albrecht, T. / yhteensä: 4
viite: 3 / 4
| Tekijä: | Albrecht, T. |
| Otsikko: | Die Vereinbarkeit der Value-at-Risk-Methode in Banken mit anteilseignerorientierter Unternehmensführung. |
| Lehti: | Zeitschrift für Betriebswirtschaft
1998 : VOL. 68:3, p. 259-273 |
| Asiasana: | BANKS FINANCIAL RISK PORTFOLIO INVESTMENT INVESTMENT ANALYSIS |
| Kieli: | ger |
| Tiivistelmä: | VaR-based internal risk-return statistics are not consistent with the results of portfolio theory and the CAPM. While internally measured risk can only take into account internal diversification, investors are also able to diversify externally and thus further reduce their risk. It was shown that it is possible to develop a single benchmark-figure that takes into account the return required by a diversified investor and the bank-specific risk-limit. This figure can be implemented without encountering larger problems than those faced by the VaR-based RORAC or RAROC. |
SCIMA