Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70036
Authors: 
Broll, Udo
Welzel, Peter
Year of Publication: 
2002
Series/Report no.: 
Volkswirtschaftliche Diskussionsreihe, Institut für Volkswirtschaftslehre der Universität Augsburg 228
Abstract: 
Using the industrial economics approach to the microeconomics of banking we analyze a large bank under credit risk. Our aim is to study how a risky loan portfolio affects optimal bank behavior in the loan and deposit markets, when credit derivatives to hedge credit risk are available. We examine hedging without and with basis risk. In the absence of basis risk the usual separation result is confirmed. In case of basis risk, however, we find a weaker notion of separation.
Subjects: 
credit risk
credit derivatives
banking firm
risk aversion
JEL: 
G21
Document Type: 
Working Paper

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