Optimal Risk-Return Trade-Offs of Commercial Banks: and the Suitability of Profitability Measures for Loan Portfolios
Product DescriptionThe present 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 assessed whether their risk-return trade-offs are optimal for banks. This volume intends to fill this gap. The approach of this work is [...]

