Add to ORKGIn 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.banking, credit risk, loan portfolio, credit derivative, hedging effectivity
This paper examines the optimal lending and hedging decisions of a bank facing uncertain returns on ...
This paper develops a set of necessary conditions to justify corporate hedging using a general cash ...
During recent years markets for credit derivatives have developed considerably. Innovative financial...
In the framework of the industrial economics approach to banking we extend the analysis of hedging a...
In the framework of the industrial economics approach to banking we extend the analysis of hedging a...
Using the industrial economics approach to the microeconomics of banking we analyze a large bank und...
Using the industrial economics approach to the microeconomics of banking we analyze a large bank und...
Individual loans contain a bundle of risks including credit risk, and interest rate risk. This paper...
The tremendous growth of markets for credit derivatives since the mid 1990's has raised questions re...
Our study features a financial institute facing credit risk. Hedging credit risk by offsetting an op...
Although risk management can be justified by financial distress, the theoretical models usually con...
Using the industrial organization approach to the microeconomics of banking we model a large (Monti-...
[[abstract]]Theories on loan portfolio swap hedging are based on a portfolio-choice approach. This p...
The industrial organization approach to the microeconomics of banking augmented by uncertainty and r...
The paper considers bond portfolios affected by both interest-rate- and default-risk. In order to gu...
This paper examines the optimal lending and hedging decisions of a bank facing uncertain returns on ...
This paper develops a set of necessary conditions to justify corporate hedging using a general cash ...
During recent years markets for credit derivatives have developed considerably. Innovative financial...
In the framework of the industrial economics approach to banking we extend the analysis of hedging a...
In the framework of the industrial economics approach to banking we extend the analysis of hedging a...
Using the industrial economics approach to the microeconomics of banking we analyze a large bank und...
Using the industrial economics approach to the microeconomics of banking we analyze a large bank und...
Individual loans contain a bundle of risks including credit risk, and interest rate risk. This paper...
The tremendous growth of markets for credit derivatives since the mid 1990's has raised questions re...
Our study features a financial institute facing credit risk. Hedging credit risk by offsetting an op...
Although risk management can be justified by financial distress, the theoretical models usually con...
Using the industrial organization approach to the microeconomics of banking we model a large (Monti-...
[[abstract]]Theories on loan portfolio swap hedging are based on a portfolio-choice approach. This p...
The industrial organization approach to the microeconomics of banking augmented by uncertainty and r...
The paper considers bond portfolios affected by both interest-rate- and default-risk. In order to gu...
This paper examines the optimal lending and hedging decisions of a bank facing uncertain returns on ...
This paper develops a set of necessary conditions to justify corporate hedging using a general cash ...
During recent years markets for credit derivatives have developed considerably. Innovative financial...