| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2355 |
| DP2355 Optimal Monitoring in Hierarchical Relationships | |
| Anke Kessler | |
| 发表日期 | 2000-01-31 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | This paper analyzes financial institutions' capital allocation decisions when their required equity capital depends on the risk of their projects chosen. We discuss the relevance of strict position limits against discretionary trading through the use of an optimal compensation function. We show that (under full information) the first-best investment decision can be delegated through an economic value added (EVA) compensation contract and solve for the optimal capital allocation rules. We demonstrate how the concept of incremental Value at Risk must be used to deal with the multidivisional firm. The results are extended to deal with asymmetric information on the part of the trading division(s). The analysis defines precisely the notion of risk-adjusted return on capital (RAROC) and how it can be used as a performance measure. |
| 主题 | Financial Economics |
| 关键词 | Allocation Banking Budgeting Capital Divisions Evaluation Institution Raroc |
| URL | https://cepr.org/publications/dp2355 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531445 |
| 推荐引用方式 GB/T 7714 | Anke Kessler. DP2355 Optimal Monitoring in Hierarchical Relationships. 2000. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Anke Kessler]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Anke Kessler]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Anke Kessler]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
