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Volkswirtschaftliche Diskussionsreihe, Universität Augsburg >
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http://hdl.handle.net/10419/22773
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| Title: | | A Note on Hedging a Loan Portfolio  |
| Authors: | | Welzel, Peter Broll, Udo |
| Issue Date: | | 2003 |
| Series/Report no.: | | Volkswirtschaftliche Diskussionsreihe / Institut für Volkswirtschaftslehre der Universität Augsburg 250 |
| Abstract: | | In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from the single?risk case are shown to carry over to the portfolio case in a non?trivial but intuitive way. |
| Abstract (Translated): | | In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from the single-risk case are shown to carry over to the portfolio case in a non-trivial but intuitive way. |
| Subjects: | | banking credit risk loan portfolio credit derivative hedging |
| JEL: | | G21 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Volkswirtschaftliche Diskussionsreihe, Universität Augsburg
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