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. The authors demonstrate that even the reward-to-VaR ratio,
which is developed for valuating loan portfolios, can be highly
misleading. They also show how market discipline, capital
requirements, and insured deposits affect decision-making.
General
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