Risk Management and Value Creation in ... - Arabictrader.com

Symbols
xix
UL i
ULMC i
V
∆V H
V A, t
VaR
VaR α
VaR H
var i
V D,t
V E,i
V E,t
w
x
x i
X
X H
z
Z t
Unexpected Loss of the i-th credit asset
Marginal contribution of loan i to the overall portfolio unexpected
loss
Firm value or value of the portfolio
Change in the portfolio value V over period H
Market value of the firm’s assets or of asset A at time t
Vector of single transaction VaR
Value at risk at the (1 – α) confidence level
Value at risk for period H
Variance of losses
Market value of debt D at time t
Invested shareholder capital E of transaction i
Market value of equity E at time t
Internal sources stemming from the bank’s existing assets or internal
wealth stemming from existing assets at the end of the investment
horizon
Total firm (market) value (for calculation in concentration ratio
CR)
Share of overall firm (market) value held by shareholder group i
Random variable or also pretax income or realized return (see LPM)
Return that accumulates until the end of the measurement period H
Wiener process
Normally distributed random variable with zero mean and
variance t