Arbeitspapier
Managing credit risk with credit and macro derivatives
The industrial organization approach to the microeconomics of banking augmented by uncertainty and risk aversion is used to examine credit derivatives and macro derivatives as instruments to hedge credit risk for a large com- mercial bank. In a partial-analytic framework we distinguish between the probability of default and the loss given default, model different forms of derivatives, and derive hedge rules and strong and weak separation properties between deposit and loan decisions on the one hand and hedging decisions on the other. We also suggest how bank-specific macro derivatives could be designed from common macro indices which serve as underlyings of recently introduced financial products.
- Sprache
-
Englisch
- Erschienen in
-
Series: Volkswirtschaftliche Diskussionsreihe ; No. 252
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
banking
credit risk
systematic risk
credit derivative
macro derivative
Kreditrisiko
Risikomanagement
Hedging
Finanzderivat
Konjunktur
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Welzel, Peter
Schweimayer, Gerhard
Broll, Udo
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Augsburg, Institut für Volkswirtschaftslehre
- (wo)
-
Augsburg
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Welzel, Peter
- Schweimayer, Gerhard
- Broll, Udo
- Universität Augsburg, Institut für Volkswirtschaftslehre
Entstanden
- 2003
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