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A Note on Hedging a Loan Portfolio

Welzel, Peter; Broll, Udo - 2003

In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on …In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on …

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

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 …

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

Value at risk, bank equity and credit risk

Broll, Udo; Wahl, Jack E. - 2003

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...

Persistent link: https://www.econbiz.de/10010305454

Collateral in banking policy and adverse selection

Broll, Udo - In: The Manchester School of Economic and Social Studies 54 (1986) 4, pp. 357-366

Persistent link: https://www.econbiz.de/10001093828

The banking firm under ambiguity aversion

Broll, Udo; Welzel, Peter; Kit, Pong Wong - 2016

banking firm finds it less attractive to take risk in the presence than in the absence of ambiguity. This result extends to …

Persistent link: https://www.econbiz.de/10011541280

Collateral in banking policy : on the possibility of signaling

Bieta, Volker; Broll, Udo; Siebe, Wilfried - In: Mathematical social sciences 71 (2014), pp. 137-141

Persistent link: https://www.econbiz.de/10010500919

Optimum bank equity capital and value at risk

Broll, Udo; Wahl, Jack E. - In: Strategic management : a European approach, (pp. 69-82). 2002

Persistent link: https://www.econbiz.de/10001650430

Value at risk, bank equity and credit risk

Broll, Udo; Wahl, Jack E. - 2003

Persistent link: https://www.econbiz.de/10001755540

Value at risk and bank equity

Broll, Udo; Wahl, Jack E. - 2002

Persistent link: https://www.econbiz.de/10001729126

Value at risk and bank equity

Broll, Udo; Wahl, Jack E. - In: Jahrbücher für Nationalökonomie und Statistik 223 (2003) 2, pp. 129-135

Persistent link: https://www.econbiz.de/10001740775

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