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Hedging with Credit Derivatives and its Strategic Role in Banking Competition
Pausch, Thilo; Schweimayer, Gerhard - 2004
The tremendous growth of markets for credit derivatives since the mid 1990's has raised questions regarding the role of these instruments in the banking in- dustry which is heavily exposed to credit risk. However, while recent literature mainly focused on pricing and optimal decisions regarding...
Persistent link: https://www.econbiz.de/10010263017
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Regulation, credit risk transfer, and bank lending
Pausch, Thilo; Welzel, Peter - 2011
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
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Regulation, credit risk transfer, and bank lending
Pausch, Thilo; Welzel, Peter - 2011
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
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Credit risk, credit rationing, and the role of banks: the case of risk averse lenders
Pausch, Thilo (contributor) - 2005
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
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Credit risk and the role of capital adequacy regulation
Pausch, Thilo (contributor); Welzel, Peter (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001663729
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Hedging with credit derivatives and its strategic role in banking competition
Pausch, Thilo (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001956337