Risikomanagement mit Kreditoptionen

Udo Broll and Peter Welzel ()

No 231, Discussion Paper Series from Universitaet Augsburg, Institute for Economics

Abstract: During recent years markets for credit derivatives have developed considerably. Innovative financial instruments offer new ways to banks to manage credit risk. In this paper we use a simple microeconomic model to show how a credit option of the put type can be used by a bank's risk-averse management to hedge against credit risk. We find that under optimal hedging the Value at Risk is zero and the bank chooses to over-hedge.

Keywords: credit risk; credit derivative; hedging; option (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2002-11
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:aug:augsbe:0231

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