Advanced Search
MyIDEAS: Login to save this paper or follow this series

Bankrisiko und Risikosteuerung mit Derivaten

Contents:

Author Info

Abstract

We use a model of a bank under perfect competition to examine effects of derivatives for tradeable and non tradeable risks on optimal bank behavior in the deposit and loan markets. If both credit risk and interest risk are tradeable, we identify simple decision rules which require only market and cost data for setting deposit and loan volumes optimally. In the case of non tradeable risks, however, optimal behavior also depends on the degree of risk aversion, the distributions of random variables and the financial resources of the bank. Simple decision rules then no longer exist.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.wiwi.uni-augsburg.de/vwl/institut/paper/227.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Universitaet Augsburg, Institute for Economics in its series Discussion Paper Series with number 227.

as in new window
Length: pages
Date of creation: Jul 2002
Date of revision:
Handle: RePEc:aug:augsbe:0227

Contact details of provider:
Postal: Universitaetsstrasse 16, D-86159 Augsburg, Germany
Phone: +49 821 598 4060
Fax: +49 821 598 4217
Email:
Web page: http://www.wiwi.uni-augsburg.de/vwl/institut
More information through EDIRC

Related research

Keywords: banking; credit risk; interest risk; risk aversion; derivatives;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Thilo Pausch & Peter Welzel, 2002. "Credit Risk and the Role of Capital Adequacy Regulation," Discussion Paper Series 224, Universitaet Augsburg, Institute for Economics.
  2. Xavier Freixas & Jean-Charles Rochet, 1997. "Microeconomics of Banking," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061937, December.
  3. Thomas C. Wilson, 1998. "Portfolio credit risk," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 71-82.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Thilo Pausch, 2003. "The Lender-Borrower Relationship with Risk Averse Lenders," Discussion Paper Series 244, Universitaet Augsburg, Institute for Economics.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:aug:augsbe:0227. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr. Albrecht Bossert).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.