Managing Credit Risk with Credit Derivatives
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Udo Broll & B. Michael Gilroy & Elmar Lukas, 2007. "Managing Credit Risk With Credit Derivatives," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-13.
References listed on IDEAS
- Henri Loubergé & Harris Schlesinger, 2005.
"Coping with credit risk,"
Journal of Risk Finance, Emerald Group Publishing Limited, vol. 6(2), pages 118-134, April.
- Henri LOUBERGÉ, & Harris SCHLESINGER, 2001. "Coping with Credit Risk," FAME Research Paper Series rp36, International Center for Financial Asset Management and Engineering.
- Louberge, H. & Schlesinger, H., 2001. "Coping with Credit Risk," Papers 36, Manitoba - Department of Economics.
- Dalia Marin & Monika Schnitzer, 2002. "Contracts in Trade and Transition: The Resurgence of Barter," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262133997, December.
- Battermann, Harald L. & Braulke, Michael & Broll, Udo & Schimmelpfennig, Jorg, 2000. "The preferred hedge instrument," Economics Letters, Elsevier, vol. 66(1), pages 85-91, January.
- Broll, Udo & Wahl, Jack E., 2003. "Value at risk, bank equity and credit risk," Dresden Discussion Paper Series in Economics 04/03, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
- Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
- Udo Broll & Gerhard Schweimayer & Peter Welzel, 2004.
"Managing Credit Risk With Credit And Macro Derivatives,"
Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 56(4), pages 360-378, October.
- Udo Broll & Gerhard Schweimayer & Peter Welzel, 2003. "Managing Credit Risk with Credit and Macro Derivatives," Discussion Paper Series 252, Universitaet Augsburg, Institute for Economics.
- Clark, Ephraim, 1997. "Valuing political risk," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 477-490, June.
- Froot, Kenneth A & Scharfstein, David S & Stein, Jeremy C, 1993.
"Risk Management: Coordinating Corporate Investment and Financing Policies,"
Journal of Finance, American Finance Association, vol. 48(5), pages 1629-1658, December.
- Kenneth A. Froot & David S. Scharfstein & Jeremy C. Stein, 1992. "Risk Management: Coordinating Corporate Investment and Financing Policies," NBER Working Papers 4084, National Bureau of Economic Research, Inc.
- Briys, Eric & Crouhy, Michel & Schlesinger, Harris, 1990. "Optimal Hedging under Intertemporally Dependent Preferences," Journal of Finance, American Finance Association, vol. 45(4), pages 1315-1324, September.
- Kit, Pong Wong, 1997. "On the determinants of bank interest margins under credit and interest rate risks," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 251-271, February.
- Broll, Udo & Chow, Kong Wing & Wong, Kit Pong, 2001. "Hedging and Nonlinear Risk Exposure," Oxford Economic Papers, Oxford University Press, vol. 53(2), pages 281-296, April.
- Xavier Freixas & Jean-Charles Rochet, 1997. "Microeconomics of Banking," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061937, December.
- Briys, Eric & Solnik, Bruno, 1992. "Optimal currency hedge ratios and interest rate risk," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 431-445, October.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Lakshmi, P., 2016. "Feasibility study of credit risk rating systems in banks," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 6(12), pages 294-306, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Stefan Franz Schubert & Udo Broll, 2015. "Consumption, inflation risk and dynamic hedging," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 9(2), June.
- Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, December.
- Wang, Shinn-Shyr & Stiegert, Kyle W., 2006.
"The Duopolistic Firm with Endogenous Risk Control: Case of Persuasive Advertising and Product Differentiation,"
Staff Paper Series
496, University of Wisconsin, Agricultural and Applied Economics.
- Wang, Shinn-Shyr & Stiegert, Kyle W., 2006. "The Duopolistic Firm with Endogenous Risk Control Case of Persuasive Advertising and Product Differentiation," Working Papers 201535, University of Wisconsin-Madison, Department of Agricultural and Applied Economics, Food System Research Group.
- Saibal Ghosh, 2015.
"Macroprudential regulation and bank behaviour: theory and evidence from a quasi-natural experiment,"
Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 8(1-2), pages 138-159, July.
- Ghosh, Saibal, 2014. "Macroprudential regulation and bank behavior: Theory and evidence from a quasi-natural experiment," MPRA Paper 65214, University Library of Munich, Germany.
- Neha Deopa & Daniele Rinaldo, 2019. "Firm Decisions under Jump-Diffusive Dynamics," IHEID Working Papers 04-2019, Economics Section, The Graduate Institute of International Studies, revised 21 Mar 2019.
- Himanshu Joshi, 2018. "Corporate Risk Management, Firms’ Characteristics and Capital Structure: Evidence from Bombay Stock Exchange (BSE) Sensex Companies," Vision, , vol. 22(4), pages 395-404, December.
- Kim, Hwa-Sung, 2024. "Effects of incomplete information on risk management," Finance Research Letters, Elsevier, vol. 64(C).
- Wang, Shinn-Shyr & Stiegert, Kyle W., 2006. "The Duopolistic Firm with Endogenous Risk Control: Case of Persuasive Advertising and Product Differentiation," Staff Papers 12606, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
- Tirtiroglu, Dogan & Bhabra, Harjeet S. & Lel, Ugur, 2004. "Political uncertainty and asset valuation: Evidence from business relocations in Canada," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2237-2258, September.
- Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos, 2017. "Corporate liquidity and dividend policy under uncertainty," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 221-235.
- Arteta, Carlos, 2002.
"Exchange Rate Regimes and Financial Dollarization: Does Flexibility Reduce Bank Currency Mismatches?,"
Center for International and Development Economics Research, Working Paper Series
qt9jb1p0jg, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- Carlos Óscar Arteta, 2003. "Exchange Rate Regimes and Financial Dollarization: Does Flexibility Reduce Bank Currency Mismatches?," International Finance 0303005, University Library of Munich, Germany.
- Carlos Arteta, 2002. "Exchange rate regimes and financial dollarization: does flexibility reduce bank currency mismatches?," International Finance Discussion Papers 738, Board of Governors of the Federal Reserve System (U.S.).
- Marcello Spanò, 2013. "Theoretical explanations of corporate hedging," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 3(7), pages 84-102, July.
- Dionne, Georges & Spaeter, Sandrine, 2003.
"Environmental risk and extended liability: The case of green technologies,"
Journal of Public Economics, Elsevier, vol. 87(5-6), pages 1025-1060, May.
- Dionne, Georges & Spaeter, Sandrine, 1998. "Environmental risk and extended liability: The case of green technologies," Working Papers 98-12, HEC Montreal, Canada Research Chair in Risk Management.
- Dionne, G. & Spaeter, S., 1998. "Environmental Risk and Extended Liability: the Case of Green Technologies," Ecole des Hautes Etudes Commerciales de Montreal- 98-12, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
- Marcello Spanò, 2013. "Theoretical explanations of corporate hedging," International Journal of Business and Social Research, LAR Center Press, vol. 3(7), pages 84-102, July.
- Nelson Souza-Sobrinho, 2010. "Macroeconomics of bank interest spreads: evidence from Brazil," Annals of Finance, Springer, vol. 6(1), pages 1-32, January.
- Di Corato, Luca, 2013.
"Profit sharing under the threat of nationalization,"
Resource and Energy Economics, Elsevier, vol. 35(3), pages 295-315.
- Luca Di Corato, 2010. "Profit Sharing under the Threat of Nationalization," Working Papers 2010.5, Fondazione Eni Enrico Mattei.
- Di Corato, Luca, 2010. "Profit Sharing under the Threat of Nationalization," Institutions and Markets Papers 59378, Fondazione Eni Enrico Mattei (FEEM).
- Di Corato, Luca, 2010. "Profit Sharing under the Threat of Nationalization," Working Papers 58292, Swedish University of Agricultural Sciences, Department of Economics.
- Lukas, Elmar, 2007. "Dynamic market entry and the value of flexibility in transitional international joint ventures," Review of Financial Economics, Elsevier, vol. 16(1), pages 91-110.
- Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos, 2017. "Corporate liquidity and dividend policy under uncertainty," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 200-214.
- Thilo Pausch, 2003. "Bank's Assets and Liabilities Management with Multiple Sources of Risk," Discussion Paper Series 245, Universitaet Augsburg, Institute for Economics.
- Restrepo Ochoa, Diana C. & Correia, Ricardo & Peña, Juan Ignacio & Población, Javier, 2015.
"Expropriation risk, investment decisions and economic sectors,"
Economic Modelling, Elsevier, vol. 48(C), pages 326-342.
- Población, Javier, 2014. "Expropriation risk, investment decisions and economic sectors," DEE - Working Papers. Business Economics. WB wb142309, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
More about this item
Keywords
Banking firm; asset/liability management; credit risk; credit derivatives; dynamic hedging.;All these keywords.
JEL classification:
- E0 - Macroeconomics and Monetary Economics - - General
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:17678. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.