Bank's Assets and Liabilities Management with Multiple Sources of Risk
AbstractThe industrial organization approach to banking is applied to analyze theeffects of the introduction of joint credit and interbank rate risk on the optimaldecisions on deposits and loans of a competitive bank. It is found that dueto the introduction of both sources of risk there appear direct effects as wellas portfolio effects which jointly determine changes in the bank’s behavior.Moreover, it is shown that there is an interaction between the effects of theintroduction of risk and economies or diseconomies of scope in the bank’sbusiness which determines the extend of behavioral changes.
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Bibliographic InfoPaper provided by Universitaet Augsburg, Institute for Economics in its series Discussion Paper Series with number 245.
Date of creation: Jul 2003
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bank; risk; risk aversion; decisions with multiple sources of risk;
Find related papers by JEL classification:
- D21 - Microeconomics - - Production and Organizations - - - Firm Behavior: Theory
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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