Arbeitspapier
Credit risk and credit derivatives in banking
Using the industrial economics approach to the microeconomics of banking we analyze a large bank under credit risk. Our aim is to study how a risky loan portfolio affects optimal bank behavior in the loan and deposit markets, when credit derivatives to hedge credit risk are available. We examine hedging without and with basis risk. In the absence of basis risk the usual separation result is confirmed. In case of basis risk, however, we find a weaker notion of separation.
- Sprache
-
Englisch
- Erschienen in
-
Series: Volkswirtschaftliche Diskussionsreihe ; No. 228
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
credit risk
credit derivatives
banking firm
risk aversion
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Broll, Udo
Welzel, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Augsburg, Institut für Volkswirtschaftslehre
- (wo)
-
Augsburg
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Broll, Udo
- Welzel, Peter
- Universität Augsburg, Institut für Volkswirtschaftslehre
Entstanden
- 2002
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