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behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS …) for hedging purposes. Regulation is found to induce the risk-neutral bank to behave in a more risk-sensitive way: Compared …. Under the Substitution Approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its total …
Persistent link: https://www.econbiz.de/10010291748
behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS …) for hedging purposes. Regulation is found to induce the risk-neutral bank to behave in a more risk-sensitive way: Compared …. Under the Substitution Approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its total …
Persistent link: https://www.econbiz.de/10008909524
optimal decision making. Introducing a bank into the market increases total wealth due to the appearance of a portfolio effect …
Persistent link: https://www.econbiz.de/10002637178
Persistent link: https://www.econbiz.de/10001663729
Persistent link: https://www.econbiz.de/10001956337