A Note on Hedging a Loan Portfolio

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.

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Year of publication:	2003
Authors:	Welzel, Peter ; Broll, Udo
Publisher:	Augsburg : Universität Augsburg, Institut für Volkswirtschaftslehre
Subject:	Kreditrisiko \| Hedging \| Portfolio-Management \| Theorie \| banking \| credit risk \| loan portfolio \| credit derivative \| hedging

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Series:	Volkswirtschaftliche Diskussionsreihe ; 250
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	372773672 [GVK] hdl:10419/22773 [Handle]
Classification:	G21 - Banks; Other Depository Institutions; Mortgages
Source:	EconStor

Persistent link: https://www.econbiz.de/10010263007