Optimal Risk-Return Trade-Offs of Commercial Banks and the Suitabili
The 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
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Founding Editors: M. Beckmann H.P. Künzi Managing Editors: Prof. Dr. G. Fandel Fachbereich Wirtschaftswissenschaften Fernuniversität Hagen Feithstr. 140/AVZ II, 58084 Hagen, Germany Prof. Dr. W. Trockel Institut für Mathematische Wirtschaftsforschung (IMW) Universität Bielefeld Universitätsstr. 25, 33615 Bielefeld, Germany Editorial Board: A. Basile, A. Drexl, H. Dawid, K. Inderfurth, W. Kürsten, U. Schittko
Jochen Kühn
Optimal Risk-Return Trade-Offs of Commercial Banks and the Suitability of Profitability Measures for Loan Portfolios
With 35 Figures and 1 Table
123
Jochen Kühn Volkenbachstraße 4 79798 Jestetten Germany
This is a printout of the dissertation approved by the Faculty of Economics, Business Administration and Information Technology of the University of Zurich. With kind support of the Stiftung Landesbank Baden-Württemberg.
ISBN-10 3-540-34819-0 Springer Berlin Heidelberg New York ISBN-13 978-3-540-34819-1 Springer Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. Springer is a part of Springer Science+Business Media springeronline.com © Springer-Verlag Berlin Heidelberg 2006 Printed in Germany The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Camera ready by author Cover: Erich Kirchner, Heidelberg Production: LE-TEX, Jelonek, Schmidt & Vöckler GbR, Leipzig SPIN 11768722
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Acknowledgements
For the realization of this dissertation I am indebted to many people. First of all, I would like to express my gratitude to my doctoral supervisor Prof. Dr. Dieter Pfaff for all his support. It was he who made me think about profitability measures and risk-return trade-offs in banks. Special thanks go to Prof. Dr. Markus Leippold for advising me and discussing mathematical details. He devoted a lot of time to my work, and I appreciate his valuable comments. Furthermore, I am indebted to my friend Zacharias Rau, who checked my numerical calculations and speeded up the calculations. Without these calculation improvements, the programs would still be running. I am also grateful to Dieter Gathge for the encouragement and companionship he provided during the completion of this dissertation. I would like to additionally thank Paulina Banaszek and Marcel Sweys for their proof-r
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