Risk Sharing Markets and Hedging a Loan Portfolio: a Note

• Autorzy: Udo Broll , Xu Guo , Peter Welzel
• Języki publikacji: EN

Abstrakty

EN

Our study features a financial institute facing credit risk. Hedging credit risk by offsetting an open position with an opposite one in the financial market is important for financial intermediaries, which are concerned with both the profitability and risk of their operations. As risk management is crucial for the financial institute, the issues of how it is optimally determined and how it adjusts to changes in the financial environment deserve closer scrutiny. We extend the analysis of hedging with financial instruments against credit risk to the case of multiple types of credit risk. We show that standard results on the optimal hedge ratio and risk management effectiveness in the case of one single source of credit risk to carry over a loan portfolio in a non-trivial but intuitive way. While we focus on credit risk and credit derivatives, our analysis can be easily applied to other financial assets, which can be traded in futures market. (original abstract)

Słowa kluczowe

EN

Risk management methods; Risk management; Financial risk management; Credit risk; Credit risk analysis; Loan guarantee; Derivatives; Financial derivatives

PL

Metody zarządzania ryzykiem; Zarządzanie ryzykiem; Zarządzanie ryzykiem finansowym; Ryzyko kredytowe; Analiza ryzyka kredytowego; Poręczenie kredytowe; Instrumenty pochodne; Finansowe instrumenty pochodne

• Czasopismo: Economics and Business Review
• Rocznik: 2017
• Tom: 3 (17)
• Numer: nr 4
• Strony: 47--54

Twórcy

autor

Udo Broll

• Technische Universität Dresden - Economics, Germany

autor

Xu Guo

• School of Stastitics, Beijing Normal University, Beijing, China

autor

Peter Welzel

• University of Augsburg, Germany

Bibliografia

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Identyfikatory

DOI

10.18559/ebr.2017.4.3