Für Volkswirtschaften, die wie die Bundesrepublik durch internationalen Handel und Kapitalbewegungen in starkem Maße mit der Weltwirtschaft verflochten sind, spielen internationale Preis-, Zins- und Wechselkursentwicklungen sowie die Interdependenzen zwischen binnen- und außenwirtschaftlichen...

Für Volkswirtschaften, die wie die Bundesrepublik durch internationalen Handel und Kapitalbewegungen in starkem Maße mit der Weltwirtschaft verflochten sind, spielen internationale Preis-, Zins- und Wechselkursentwicklungen sowie die Interdependenzen zwischen binnen- und außenwirtschaftlichen...

The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking...

This note studies the risk-management decisions of a risk-averse farmer. The farmer faces multiple sources of price uncertainty. He sells commodities to two markets at two prices, but only one of these markets has a futures market. We show that the farmer’s optimal commodity futures market...

When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the Value-at-Risk calculation...

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...