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Title:A Note on Hedging a Loan Portfolio PDF Logo
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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