A theory of risk capital

• 成果类型: Article
• 署名作者: Erel, Isil; Myers, Stewart C.; Read, James A., Jr.
• 署名单位: University System of Ohio; Ohio State University; Massachusetts Institute of Technology (MIT); The Brattle Group
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.10.006
• 发表日期: 2015
• 页码: 620-635
• 关键词: Capital allocation; Cash capital; Investment decisions; VaR; RAROC

摘要

We present a theory of risk capital and of how tax and other costs of risk capital should be allocated in a financial firm. Risk capital is equity investment that backs obligations to creditors and other liability holders and maintains the firm's credit quality. Credit quality is measured by the ratio of the value of the firm's option to default to the default-free value of its liabilities. Marginal default values provide a full and unique allocation of risk capital. Efficient capital allocations maintain credit quality and preclude risk shifting. Our theory leads to an adjusted present value (APV) criterion for making investment and contracting decisions. We set out implications for risk management and corporate finance. (C) 2014 Elsevier B.V. All rights reserved.