Arbeitspapier
A Note on Hedging a Loan Portfolio
In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from the single?risk case are shown to carry over to the portfolio case in a non?trivial but intuitive way.
- Language
-
Englisch
- Bibliographic citation
-
Series: Volkswirtschaftliche Diskussionsreihe ; No. 250
- Classification
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Subject
-
banking
credit risk
loan portfolio
credit derivative
hedging
Kreditrisiko
Hedging
Portfolio-Management
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Welzel, Peter
Broll, Udo
- Event
-
Veröffentlichung
- (who)
-
Universität Augsburg, Institut für Volkswirtschaftslehre
- (where)
-
Augsburg
- (when)
-
2003
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Welzel, Peter
- Broll, Udo
- Universität Augsburg, Institut für Volkswirtschaftslehre
Time of origin
- 2003
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