Bank's Assets and Liabilities Management with Multiple Sources of Risk
The 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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| Length: | pages |
| Date of creation: | Jul 2003 |
| Handle: | RePEc:aug:augsbe:0245 |
| Contact details of provider: | Postal: Universitaetsstrasse 16, D-86159 Augsburg, Germany Phone: +49 821 598 4060 Fax: +49 821 598 4217 Web page: http://www.wiwi.uni-augsburg.de/vwl/institut Email: More information through EDIRC
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