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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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Bank's Assets and Liabilities Management with Multiple Sources of Risk
Pausch, Thilo - 2003
and interbank rate risk on the optimaldecisions on deposits and loans of a competitive bank. It is found that dueto the … bank's behavior.Moreover, it is shown that there is an interaction between the effects of theintroduction of risk and … economies or diseconomies of scope in the bank?sbusiness which determines the extend of behavioral changes. …
Persistent link: https://www.econbiz.de/10010273129