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dc.contributor.authorWelzel, Peteren
dc.contributor.authorBroll, Udoen
dc.date.accessioned2009-01-29T15:08:49Z-
dc.date.available2009-01-29T15:08:49Z-
dc.date.issued2003-
dc.identifier.urihttp://hdl.handle.net/10419/22773-
dc.description.abstractIn 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
dc.language.isoengen
dc.publisher|aUniversität Augsburg, Institut für Volkswirtschaftslehre |cAugsburgen
dc.relation.ispartofseries|aVolkswirtschaftliche Diskussionsreihe |x250en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordbankingen
dc.subject.keywordcredit risken
dc.subject.keywordloan portfolioen
dc.subject.keywordcredit derivativeen
dc.subject.keywordhedgingen
dc.subject.stwKreditrisikoen
dc.subject.stwHedgingen
dc.subject.stwPortfolio-Managementen
dc.subject.stwTheorieen
dc.titleA Note on Hedging a Loan Portfolio-
dc.typeWorking Paperen
dc.identifier.ppn372773672en
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
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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