February 2007
Intermediate to advanced
280 pages
15h 37m
English
Content preview from Value at Risk and Bank Capital Management
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face potential losses. The fi rst one is book value of capital, i.e., the difference between
the value of assets and the value of liabilities at book value. The second one is the market
value of capital, i.e., the difference between the value of assets and the value of liabilities
when they are marked to market. The third one is the market capitalization of the bank,
i.e., its value on the stock market. Depending on which view is adopted, not only available
capital but also capital at risk (i.e., simply speaking, the capital that can be lost in an
unfavorable scenario) may remarkably vary. The need to comply with a set of different
constrai
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