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Bankrisiko und Risikosteuerung mit Derivaten

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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.

Suggested Citation

  • Udo Broll & Peter Welzel, 2002. "Bankrisiko und Risikosteuerung mit Derivaten," Discussion Paper Series 227, Universitaet Augsburg, Institute for Economics.
  • Handle: RePEc:aug:augsbe:0227
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    File URL: http://www.wiwi.uni-augsburg.de/vwl/institut/paper/227.pdf
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    References listed on IDEAS

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    1. Thilo Pausch & Peter Welzel, 2002. "Credit Risk and the Role of Capital Adequacy Regulation," Discussion Paper Series 224, Universitaet Augsburg, Institute for Economics.
    2. Xavier Freixas & Jean-Charles Rochet, 1997. "Microeconomics of Banking," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061937, January.
    3. Thomas C. Wilson, 1998. "Portfolio credit risk," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 71-82.
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    Cited by:

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

    More about this item

    Keywords

    banking; credit risk; interest risk; risk aversion; derivatives;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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