A Note on Hedging a Loan Portfolio

descriptionPublicationkeyboard_double_arrow_right Research , Preprint 01 Jan 2003 Germany English Publisher:Augsburg: Universität Augsburg, Institut für Volkswirtschaftslehre

Authors: Udo Broll; Peter Welzel;

handle: 10419/22773

A Note on Hedging a Loan Portfolio

- Summary
- Subjects
- Related research
  (1)
- Metrics

Abstract

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 the single?risk case are shown to carry over to the portfolio case in a non?trivial but intuitive way.

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 the single-risk case are shown to carry over to the portfolio case in a non-trivial but intuitive way.

Country

Germany

Related Organizations

Universität Augsburg
Germany

Keywords

Portfolio-Management, ddc:330, credit risk, Hedging, banking, credit risk, loan portfolio, credit derivative, hedging effectivity, banking, credit derivative, loan portfolio, Kreditrisiko, G21, hedging, Theorie, jel: jel:G21

1 Research products, page 1 of 1

Quantitative Steuerung eines Kreditportfolios
2018IsAmongTopNSimilarDocuments

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	0
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average