Bankrisiko und Risikosteuerung mit Derivaten

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Bankrisiko und Risikosteuerung mit Derivaten

Author Info

Udo Broll () (Dresden University of Technology, Faculty of Business Management and Economics)
Peter Welzel () (University of Augsburg, Department of Economics)

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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.

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

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Length: pages
Date of creation: Jul 2002
Date of revision:
Handle: RePEc:aug:augsbe:0227

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Find related papers by JEL classification:
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages

This paper has been announced in the following NEP Reports:

NEP-ALL-2002-08-08 (All new papers)

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.:

Thomas C. Wilson, 1998. "Portfolio credit risk," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 71-82. [Downloadable!]
Thilo Pausch & Peter Welzel, 2002. "Credit Risk and the Role of Capital Adequacy Regulation," Discussion Paper Series 224, Universitaet Augsburg, Institute for Economics. [Downloadable!]

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Cited by:
(explanations, 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.)

Thilo Pausch, 2003. "The Lender-Borrower Relationship with Risk Averse Lenders," Discussion Paper Series 244, Universitaet Augsburg, Institute for Economics. [Downloadable!]

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