Advanced Search
MyIDEAS: Login

Risikomanagement mit Kreditoptionen

Contents:

Author Info

Abstract

During recent years markets for credit derivatives have developed considerably. Innovative financial instruments offer new ways to banks to manage credit risk. In this paper we use a simple microeconomic model to show how a credit option of the put type can be used by a bank's risk-averse management to hedge against credit risk. We find that under optimal hedging the Value at Risk is zero and the bank chooses to over-hedge.

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/231.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Universitaet Augsburg, Institute for Economics in its series Discussion Paper Series with number 231.

as in new window
Length: pages
Date of creation: Nov 2002
Date of revision:
Handle: RePEc:aug:augsbe:0231

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: credit risk; credit derivative; hedging; option;

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. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
  2. Kenneth A. Froot & David S. Scharfstein & Jeremy C. Stein, 1992. "Risk Management: Coordinating Corporate Investment and Financing Policies," NBER Working Papers 4084, National Bureau of Economic Research, Inc.
  3. Udo Broll & Thilo Pausch & Peter Welzel, 2002. "Credit Risk and Credit Derivatives in Banking," Discussion Paper Series 228, Universitaet Augsburg, Institute for Economics.
  4. Thilo Pausch & Peter Welzel, 2002. "Credit Risk and the Role of Capital Adequacy Regulation," Discussion Paper Series 224, Universitaet Augsburg, Institute for Economics.
Full references (including those not matched with items on IDEAS)

Citations

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:0231. 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.