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Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps

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  • Cremers, Heinz
  • Walzner, Jens
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    Abstract

    Within the last decade, credit risk management of financial institutions has been subject to major changes due to the development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their credit portfolio by either approving or refusing a credit request. Having made a decision, there was hardly any chance to influence the portfolio at a later stage. Alternative solutions for risk mitigation like selling the obligation (e.g. via an Asset Backed SecurityTransaction) or claiming further collateral were relatively complicated, cost-intensive and of doubtable success primarily due to their dependency on legal requirements and/or negotiation skills. With the emergence of credit derivatives, risk management has received a broad range of possibilities to transfer credit risk easily without affecting the credit relationship. In other words, credit derivatives enable the separation of credit risk from the original obligation and trading of the risk by itself. Therefore, credit portfolios can be managed actively at every stage. --

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    Bibliographic Info

    Paper provided by Frankfurt School of Finance and Management in its series Frankfurt School - Working Paper Series with number 80.

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    Date of creation: 2007
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    Handle: RePEc:zbw:fsfmwp:80

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    Related research

    Keywords: Credit derivatives; credit derivatives market; credit default swap; credit risk transfer; pricing; valuation; default spread; implicit default probability; risk control; risk management; credit portfolio management; banking supervision; Basel II; credit risk mitigation;

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    Cited by:
    1. Odermann, Alexander & Cremers, Heinz, 2013. "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series 204, Frankfurt School of Finance and Management.
    2. Yu, Xiaofan, 2011. "A spatial interpretation of the persistency of China's provincial inequality," Frankfurt School - Working Paper Series 171, Frankfurt School of Finance and Management.

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