Credit securitization and credit derivatives: Financial instruments and the credit risk management of middle market commercial loan portfolios

Research, Preprint OPEN
Henke, Sabine; Burghof, Hans-Peter; Rudolph, Bernd;
  • Publisher: Goethe University, Center for Financial Studies (CFS) Frankfurt a. M.
  • Subject: credit derivatives,credit risk management,securitization | credit risk management | Kreditmanagement | G11 | G21 | Derivat, Wertpapier | credit derivatives | securitization
    • jel: jel:G11 | jel:G21
      ddc: ddc:330
    acm: ComputingMilieux_MISCELLANEOUS

Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We address the subportfolio "middle market". Due to their specific lending policy for this market segment it is an important task for banks to systematically... View more
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