Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22773
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dc.contributor.authorWelzel, Peteren_US
dc.contributor.authorBroll, Udoen_US
dc.date.accessioned2009-01-29T15:08:49Z-
dc.date.available2009-01-29T15:08:49Z-
dc.date.issued2003en_US
dc.identifier.urihttp://hdl.handle.net/10419/22773-
dc.description.abstractIn the framework of the industrial economics approach to banking we extendthe analysis of hedging against default on loans to the case of two types ofcredit risk. Standard results on the optimal hedge volume and the hedgingeffectivity from the single?risk case are shown to carry over to the portfoliocase in a non?trivial but intuitive way.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aVolkswirtschaftliche Diskussionsreihe / Institut für Volkswirtschaftslehre der Universität Augsburg |x250en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordbankingen_US
dc.subject.keywordcredit risken_US
dc.subject.keywordloan portfolioen_US
dc.subject.keywordcredit derivativeen_US
dc.subject.keywordhedgingen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwHedgingen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwTheorieen_US
dc.titleA Note on Hedging a Loan Portfolioen_US
dc.typeWorking Paperen_US
dc.identifier.ppn372773672en_US
dc.description.abstracttransIn 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.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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