Makroderivate als Instrumente des Hedging von Kreditrisiko durch eine große Bank zu untersuchen. In einem partialanalytischen Ansatz … decisions on the one hand and hedging decisions on the other. We also suggest how bank-specific macro derivatives could be …

hedging the Value at Risk is zero and the bank chooses to over-hedge. …

We investigate the pricing of basket credit derivatives and their hedging with single name credit default swaps (CDS … pure jump filtration, we present an extremely efficient approach to pricing and study explicit hedging strategies. …

In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on … loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from …In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on …

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 …

This paper studies the impact of counter-party default risk of forward contracts on a firm's production and hedging …

. We find that, depending on whether futures contracts are used for risk reduction (i.e., hedging) or risk taking (i …

hedging strategy are derived and discussed. It is shown that hedging increases the investor's wellbeing in terms of …

corporate hedging: equity value maximising strategies and strategies determined by managerial risk aversion. The first category … distress and costs of external finance or to replace home-made hedging by shareholders. The second category considers that … managers maximise their personal utility rather than the market value of equity. Their hedging strategy, therefore, is …

derivatives. Precipitation derivatives can be used both for hedging and marketing purposes for a diverse number of possible end …