Managing credit risk with credit derivatives:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Paderborn
[2005]
|
| Schriftenreihe: | Arbeitspapiere der Fakultät für Wirtschaftswissenschaften / Universität Paderborn
N.F., 84 |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 18 S. |
Internformat
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Datensatz im Suchindex
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| adam_text | Managing Credit Risk with Credit Derivatives
Udo Broll*
B. Michael GiLROYt
Elmar Lukas*
Dresden and Paderborn
July 2005
Abstract Credit risk is one of the most important forms of risk
faced by national and international banks as financial intermedia¬
ries. Managing this kind of risk through selecting and monitoring
corporate and sovereign borrowers and through creating a diversified
loan portfolio has always been one of the predominant challenges in
bank management. The aim of our study is to examine how a risky
loan portfolio affects optimal bank behavior in the loan and deposit
markets, when derivatives to hedge credit risk are available. In a
stochastic continuous time framework a hedging model is developed
where the bank management can use derivatives to hedge credit
risk. Optimal loan, deposit and hedging strategies are then studied.
It is shown that the magnitude and the direction of hedging are
determined by the bank manager s preferences, the corresponding
risk premium and the variance of the loan rate and its nedging
instrument respectively.
Keywords: banking firm, credit risk, credit derivatives, hedging.
JEL Classification: Gil, G21, L10.
*Department of Economics, Technische Universitat Dresden, Mommsenstrasse 13, D
01062 Dresden, Germany, Fax: 0351 463 37736, E mail: udo.broll@tu dresden.de
tDepartment of Economics, Universitat Paderborn, Warburger Str. 100, D 33098 Pa¬
derborn, Germany, E mail: mgilroy@notes.upb.de
^Department of Economics, Universitat Paderborn, Warburger Str. 100, D 33098 Pa¬
derborn, Germany, E mail: elukas@notes.upb.de
|
| adam_txt |
Managing Credit Risk with Credit Derivatives
Udo Broll*
B. Michael GiLROYt
Elmar Lukas*
Dresden and Paderborn
July 2005
Abstract Credit risk is one of the most important forms of risk
faced by national and international banks as financial intermedia¬
ries. Managing this kind of risk through selecting and monitoring
corporate and sovereign borrowers and through creating a diversified
loan portfolio has always been one of the predominant challenges in
bank management. The aim of our study is to examine how a risky
loan portfolio affects optimal bank behavior in the loan and deposit
markets, when derivatives to hedge credit risk are available. In a
stochastic continuous time framework a hedging model is developed
where the bank management can use derivatives to hedge credit
risk. Optimal loan, deposit and hedging strategies are then studied.
It is shown that the magnitude and the direction of hedging are
determined by the bank manager' s preferences, the corresponding
risk premium and the variance of the loan rate and its nedging
instrument respectively.
Keywords: banking firm, credit risk, credit derivatives, hedging.
JEL Classification: Gil, G21, L10.
*Department of Economics, Technische Universitat Dresden, Mommsenstrasse 13, D
01062 Dresden, Germany, Fax: 0351 463 37736, E mail: udo.broll@tu dresden.de
tDepartment of Economics, Universitat Paderborn, Warburger Str. 100, D 33098 Pa¬
derborn, Germany, E mail: mgilroy@notes.upb.de
^Department of Economics, Universitat Paderborn, Warburger Str. 100, D 33098 Pa¬
derborn, Germany, E mail: elukas@notes.upb.de |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Broll, Udo Gilroy, Bernard Michael 1956- Lukas, Elmar |
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| discipline | Wirtschaftswissenschaften |
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| index_date | 2024-07-02T13:21:10Z |
| indexdate | 2024-07-09T20:26:44Z |
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| spelling | Broll, Udo Verfasser aut Managing credit risk with credit derivatives Udo Broll ; B. Michael Gilroy and Elmar Lukas Paderborn [2005] 18 S. txt rdacontent n rdamedia nc rdacarrier Arbeitspapiere der Fakultät für Wirtschaftswissenschaften / Universität Paderborn N.F., 84 Gilroy, Bernard Michael 1956- Verfasser (DE-588)110930347 aut Lukas, Elmar Verfasser aut Universität Paderborn Arbeitspapiere der Fakultät für Wirtschaftswissenschaften N.F., 84 (DE-604)BV017046578 84 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014177248&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Broll, Udo Gilroy, Bernard Michael 1956- Lukas, Elmar Managing credit risk with credit derivatives |
| title | Managing credit risk with credit derivatives |
| title_auth | Managing credit risk with credit derivatives |
| title_exact_search | Managing credit risk with credit derivatives |
| title_exact_search_txtP | Managing credit risk with credit derivatives |
| title_full | Managing credit risk with credit derivatives Udo Broll ; B. Michael Gilroy and Elmar Lukas |
| title_fullStr | Managing credit risk with credit derivatives Udo Broll ; B. Michael Gilroy and Elmar Lukas |
| title_full_unstemmed | Managing credit risk with credit derivatives Udo Broll ; B. Michael Gilroy and Elmar Lukas |
| title_short | Managing credit risk with credit derivatives |
| title_sort | managing credit risk with credit derivatives |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014177248&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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