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Institut für Volkswirtschaftslehre, Universität Augsburg >
Volkswirtschaftliche Diskussionsreihe, Universität Augsburg >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22773
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Welzel, Peter | | en_US |
| dc.contributor.author | | Broll, Udo | | en_US |
| dc.date.accessioned | | 2009-01-29T15:08:49Z | | - |
| dc.date.available | | 2009-01-29T15:08:49Z | | - |
| dc.date.issued | | 2003 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/22773 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | | | en_US |
| dc.relation.ispartofseries | | Volkswirtschaftliche Diskussionsreihe / Institut für Volkswirtschaftslehre der Universität Augsburg 250 | | en_US |
| dc.subject.jel | | G21 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | banking | | en_US |
| dc.subject.keyword | | credit risk | | en_US |
| dc.subject.keyword | | loan portfolio | | en_US |
| dc.subject.keyword | | credit derivative | | en_US |
| dc.subject.keyword | | hedging | | en_US |
| dc.subject.stw | | Kreditrisiko | | en_US |
| dc.subject.stw | | Hedging | | en_US |
| dc.subject.stw | | Portfolio-Management | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | A Note on Hedging a Loan Portfolio | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 372773672 | | en_US |
| dc.description.abstracttrans | | 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. | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Volkswirtschaftliche Diskussionsreihe, Universität Augsburg
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Description |
Size | Format |
| 250.pdf | | 199,25 kB | Adobe PDF |
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