Managing Credit Risk With Credit And Macro Derivatives
We use the industrial organization approach to the microeconomic s of banking, augment Ed by uncertainty and risk aversion, to ex a mine c r edit derivatives and macro derivatives as instruments t o hedge c r edit risk for a large commercial bank. In a partial-analytic framework we distinguish between the probability of default and the loss given default ,model different forms of derivatives , and derive hedge rules and strong and weak separation properties between deposit and loan decisions on the one hand and hedging decisions on the o t her . We also suggest how bank-specific macro derivatives could be designed from common macro index as which serve as underlings of recently introduced financial products.
Volume (Year): 56 (2004)
Issue (Month): 4 (October)
|Contact details of provider:|| Postal: |
Phone: 0049 89 2180 2166
Fax: 0049 89 2180 6327
Web page: http://www.sbr-online.com
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:sbr:abstra:v:56:y:2004:i:4:360-378. 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: (sbr)
If references are entirely missing, you can add them using this form.