MANAGING CREDIT RISK WITH CREDIT 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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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.
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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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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...
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E C O N O M I C R E V I E W Fourth Quarter 2007 The growth of credit derivatives suggests that market participants find them useful for risk management. Figure 1 shows the growth trajectory for credit derivatives from two surveys of derivatives dealers: the International Swaps and Derivatives Association (ISDA) Market Survey, which goes back to 2001, and the Bank for International Settlements (...
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ژورنال
عنوان ژورنال: Annals of Financial Economics
سال: 2007
ISSN: 2010-4952,2010-4960
DOI: 10.1142/s2010495207500042