Managing Credit Risk with Credit and Macro Derivatives
نویسندگان
چکیده
منابع مشابه
Credit Risk and Credit Derivatives in Banking
Using the industrial economics approach to the microeconomics of banking we analyze a large bank under credit risk. Our aim is to study how a risky loan portfolio affects optimal bank behavior in the loan and deposit markets, when credit derivatives to hedge credit risk are available. We examine hedging without and with basis risk. In the absence of basis risk the usual separation result is con...
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E C O N O M I C R E V I E W Fourth Quarter 2007 In the early to mid-1990s, derivatives received a great deal of negative publicity in the popular media. Several unfortunate incidents ultimately led Gastineau and Kritzman (1996), in the revised edition of their Dictionary of Financial Risk Management, to define a derivative as, “in the financial press, anything that loses money.” The proximate c...
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In this paper the pricing of several credit risk derivatives is discussed in an intensity-based framework with both risk-free and defaultable interest rates stochastic and possibly correlated. Credit spread puts and exchange options serve as main examples. The differences to standard interest rate derivatives are analysed. Where possible closed-form solutions are given.
متن کاملCredit Derivatives and Risk Aversion
We discuss the valuation of credit derivatives in extreme regimes such as when the time-tomaturity is short, or when payoff is contingent upon a large number of defaults, as with senior tranches of collateralized debt obligations. In these cases, risk aversion may play an important role, especially when there is little liquidity, and utility indifference valuation may apply. Specifically, we an...
متن کاملCredit derivatives in banking: Useful tools for managing risk?
We model the effects on banks of the introduction of a market for credit derivatives; in particular, credit-default swaps. A bank can use such swaps to temporarily transfer credit risks of their loans to others, reducing the likelihood that defaulting loans trigger the bank’s financial distress. Because credit derivatives are more flexible at transferring risks than are other, more established ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.467402