We use a model of a bank under perfect competition to examine effects of derivatives for tradeable and non tradeable …

We use a model of a bank under perfect competition to examine effects of derivatives for tradeable and non tradeable …

on how interest rate risk affects optimal bank investment in the loan and deposit market when derivatives are available …

In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on …In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on …

used to examine credit derivatives and macro derivatives as instruments to hedge credit risk for a large com- mercial bank …. In a partial-analytic framework we distinguish between the probability of default and the loss given default, model … different forms of derivatives, and derive hedge rules and strong and weak separation properties between deposit and loan …

During recent years markets for credit derivatives have developed considerably. Innovative financial instruments offer …

derivatives to hedge credit risk are available. We examine hedging without and with basis risk. In the absence of basis risk the …