Resource title

Managing credit risk with credit and macro derivatives

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Resource description

The industrial organization approach to the microeconomics of banking aug- mented 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. ; Wir 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.

Resource author

Peter Welzel, Gerhard Schweimayer, Udo Broll

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22775

Resource license

Adapt according to the presented license agreement and reference the original author.