Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps

Within the last decade, credit risk management of financial institutions has been subject to major changes due to the development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their credit portfolio by either approving or refusing a credit request. Having made a decision, there was hardly any chance to influence the portfolio at a later stage. Alternative solutions for risk mitigation like selling the obligation (e.g. via an Asset Backed Security–Transaction) or claiming further collateral were relatively complicated, cost-intensive and of doubtable success primarily due to their dependency on legal requirements and/or negotiation skills. With the emergence of credit derivatives, risk management has received a broad range of possibilities to transfer credit risk easily without affecting the credit relationship. In other words, credit derivatives enable the separation of credit risk from the original obligation and trading of the risk by itself. Therefore, credit portfolios can be managed actively at every stage.Due to its simplicity and efficiency, the most frequently traded derivative for controlling credit risk is the credit default swap. Furthermore, it builds the fundament for other, more sophisticated, credit derivatives as well. Hence, it is used for credit portfolio management quite often, even though knowledge of the “fair market price (so-called fair default spread)”, as an expression of borrowers creditworthiness, is essential to determine whether to hedge or to extend credit risk with a borrower. Having found the fair default spread, portfolio management can use credit derivatives to optimise the risk-return-relation of their credit portfolio. For this purpose, it will not only hedge credit risks, but also extend credit exposures to diversify the portfolio. Among others, trading credit risk via credit derivatives enables financial institutions to benefit from different legal regulations in different countries, to hedge themselves against ri