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

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 …

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 …

Within a default intensity approach we discuss the optimal exercise of the callable and convertible bonds. Pricing …

Does hedging motivate CDS trading and does that affect the availability of credit? To answer these questions we couple … relationships with riskier firms increase banks' CDS trading and hedging of these firms. Properly hedged banks holding more CDS …

effect on the hedging behaviour against the counterparty. As the current regulatory frameworks explicitly formulate any … capital relief motives and provides a viable hedging instrument beyond receiving coverage through collateral. …

of numerical methods for pricing, hedging, and risk management of financial instruments. …