Back to Search
Start Over
Managing Credit Risk with Credit and Macro Derivatives
- Source :
- Schmalenbach Business Review. 56:360-378
- Publication Year :
- 2004
- Publisher :
- Springer Science and Business Media LLC, 2004.
-
Abstract
- The industrial organization approach to the microeconomics of banking augmented by uncertainty and risk aversion is used to examine credit derivatives and macro derivatives as instruments to hedge credit risk for a large commercial bank. In a partial{analytic framework we distinguish between the probability of default and the loss given default, model difierent 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 other. We also suggest how bank{speciflc macro derivatives could be designed from common macro indices which serve as underlyings of recently introduced flnancial products.
Details
- ISSN :
- 2194072X and 14392917
- Volume :
- 56
- Database :
- OpenAIRE
- Journal :
- Schmalenbach Business Review
- Accession number :
- edsair.doi...........ff575ce0795d5f494d0a6b72f5f59894