-variance (mean-standard deviation) approach to examine a banking firm investing in risky assets and hedging opportunities. The mean …-standard deviation framework can be used because our hedging model satisfies a scale and location condition. The focus of this study is … on how interest rate risk affects optimal bank investment in the loan and deposit market when derivatives are available …

uncertainty and hedging opportunities. Market transparency is modeled by means of the informational content of publicly observable …

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 …

During recent years markets for credit derivatives have developed considerably. Innovative financial instruments offer … hedging the Value at Risk is zero and the bank chooses to over-hedge. …

Using a two-moment decision model this paper analyzes corporate hedging behavior in the presence of unified and …, therefore, the incentive for hedging reduces. We demonstrate that pure hedging is differently affected by taxation than … speculative hedging is. Analysing tax-sensitivity of the corporate hedge shows that a higher risk in the first place may reduce …

uncertainty and hedging opportunities. Market transparency is modeled by means of the informational content of publicly observable …