Search Results - subject:"macro derivative"

Managing Credit Risk with Credit and Macro Derivatives

Broll, Udo; Schweimayer, Gerhard; Welzel, Peter - Institut für Volkswirschaftlehre, Fakultät für … - 2003

: banking, credit risk, systematic risk, credit derivative, macro derivative JEL classiflkation: G21 ⁄Fakult …. Keywords: banking, credit risk, systematic risk, credit derivative, macro derivative JEL classiflkation: G21 1 Introduction … and introduce the notion of a macro derivative used to hedge against systematic risk. Both the credit default swap and the …

Persistent link: https://www.econbiz.de/10005125121

Managing credit risk with credit and macro derivatives

Welzel, Peter; Schweimayer, Gerhard; Broll, Udo - 2003

The industrial organization approach to the microeconomics of banking augmented by uncertainty and risk aversion is used to examine credit derivatives and macro derivatives as instruments to hedge credit risk for a large com- mercial bank. In a partial-analytic framework we distinguish between...

Persistent link: https://www.econbiz.de/10010263009