loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from … the single?risk case are shown to carry over to the portfolio case in a non?trivial but intuitive way. … loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from …

The 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 …