Broll, Udo; Pausch, Thilo; Welzel, Peter - Institut für Volkswirschaftlehre, Fakultät für … - 2002
, however, we find a weaker notion of
separation.
Keywords: credit risk, credit derivatives, banking firm, risk aversion
JEL …: credit risk, credit derivatives, banking firm, risk aversion
JEL classification: G21
1 Introduction
Credit risk is one of the … section 2 we present the model of a
large banking firm under credit risk, when a credit derivative is available. Section
3 …