Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22775 
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dc.contributor.authorWelzel, Peteren
dc.contributor.authorSchweimayer, Gerharden
dc.contributor.authorBroll, Udoen
dc.date.accessioned2009-01-29T15:08:51Z-
dc.date.available2009-01-29T15:08:51Z-
dc.date.issued2003-
dc.identifier.urihttp://hdl.handle.net/10419/22775-
dc.description.abstractThe industrial organization approach to the microeconomics of banking augmented by uncertainty and risk aversion is used to examine credit derivatives and macro derivatives as instruments to hedge credit risk for a large com- mercial bank. In a partial-analytic framework we distinguish between the probability of default and the loss given default, model different forms of derivatives, and derive hedge rules and strong and weak separation properties between deposit and loan decisions on the one hand and hedging decisions on the other. We also suggest how bank-specific macro derivatives could be designed from common macro indices which serve as underlyings of recently introduced financial products.en
dc.language.isoengen
dc.publisher|aUniversität Augsburg, Institut für Volkswirtschaftslehre |cAugsburgen
dc.relation.ispartofseries|aVolkswirtschaftliche Diskussionsreihe |x252en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordbankingen
dc.subject.keywordcredit risken
dc.subject.keywordsystematic risken
dc.subject.keywordcredit derivativeen
dc.subject.keywordmacro derivativeen
dc.subject.stwKreditrisikoen
dc.subject.stwRisikomanagementen
dc.subject.stwHedgingen
dc.subject.stwFinanzderivaten
dc.subject.stwKonjunkturen
dc.subject.stwTheorieen
dc.titleManaging credit risk with credit and macro derivatives-
dc.typeWorking Paperen
dc.identifier.ppn374929378en
dc.description.abstracttransWir ergänzen den industrieökonomischen Ansatz der Banktheorie um Unsicherheit und Risikoaversion, um Kredit- und Makroderivate als Instrumente des Hedging von Kreditrisiko durch eine große Bank zu untersuchen. In einem partialanalytischen Ansatz unterscheiden wir die Wahrscheinlichkeit des Kreditausfalls und den Verlust bei Kreditausfall, modellieren in stilisierter Weise unterschiedliche Formen von Derivaten und leiten Hedge-Regeln und Separationsaussagen her. Zusätzlich unterbreiten wir einen Vorschlag, wie bankspezifische Makroderivate aus gängigen Makroindizes konstruiert werden können.en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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