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 …

optimal decision making. Introducing a bank into the market increases total wealth due to the appearance of a portfolio effect …

and interbank rate risk on the optimaldecisions on deposits and loans of a competitive bank. It is found that dueto the … introduction of both sources of risk there appear direct effects as wellas portfolio effects which jointly determine changes in the … bank's behavior.Moreover, it is shown that there is an interaction between the effects of theintroduction of risk and …

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 …

optimal decision making. Introducing a bank into the market increases total wealth due to the appearance of a portfolio effect …