Baule, Rainer; Entrop, Oliver; Wilkens, Marco - Lehrstuhl für ABWL, Finanzierung und Bankbetriebslehre … - 2008
This paper analyzes bank margins in the German secondary market for exchange-tradedstructured financial products, with particular emphasis on the influence of banks credit risk.A structural model allowing for the incorporation of correlation effects between market andcredit risk is applied to...