@techreport{Welzel2003Managing,
abstract = {The industrial organization approach to the microeconomics of banking aug-
mented by uncertainty and risk aversion is used to examine credit derivatives
and macro derivatives as instruments to hedge credit risk for a large com-
mercial 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 other. We also suggest how bank-specific macro derivatives could be
designed from common macro indices which serve as underlyings of recently
introduced financial products. --  -- Wir erg\"{a}nzen den industrie\"{o}konomischen Ansatz der Banktheorie um Unsicherheit und Risikoaversion, um Kredit- und Makroderivate als Instrumente des Hedging von Kreditrisiko durch eine gro\ss{}e Bank zu untersuchen. In einem partialanalytischen Ansatz unterscheiden wir die Wahrscheinlichkeit des Kreditausfalls und den Verlust bei Kreditausfall, modellieren in stilisierter Weise unterschiedliche Formen von Derivaten und leiten Hedge-Regeln und Separationsaussagen her. Zus\"{a}tzlich unterbreiten wir einen Vorschlag, wie bankspezifische Makroderivate aus g\"{a}ngigen Makroindizes konstruiert werden k\"{o}nnen.},
author = {Peter Welzel and Gerhard Schweimayer and Udo Broll},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G21; 330; banking; credit risk; systematic risk; credit derivative; macro derivative; Kreditrisiko; Risikomanagement; Hedging; Finanzderivat; Konjunktur; Theorie},
language = {eng},
number = {252},
title = {Managing credit risk with credit and macro derivatives},
type = {Volkswirtschaftliche Diskussionsreihe / Institut f\"{u}r Volkswirtschaftslehre der Universit\"{a}t Augsburg},
url = {http://hdl.handle.net/10419/22775},
year = {2003}
}
