Gilroy, Bernard Michael; Broll, Udo - Volkswirtschaftliche Fakultät, … - 2005
Given a commercial banking firm facing credit risk we develop a dynamic hedging model where the bank management can use … credit derivatives. In a continuous-time framework optimal hedging strategies, deposit and loan decisions and consumption are … purpose of hedging is to stabilize the consumption path through a reduction in the variability of the dynamics of the wealth …