logo
ads
سفارش طراحی انواع اکسپرت و اندیکاتور
search

از بین هزاران مقاله ما جستجو کنید...

مجموعه آموزشی جامع فارکس

Managing Credit Risk With Credit And Macro Derivatives

Managing Credit Risk With Credit And Macro Derivatives

Managing Credit Risk With Credit And Macro Derivatives

We use the industrial organization approach to the microeconomics of banking, augmented by uncertainty and risk aversion, to examine credit derivatives and macro derivatives as instruments to hedge credit risk for a large commercial bank. In a partial-analytic framework we distinguish between the probability of default and the loss given default, model different forms of […]

book2

Managing Credit Risk With Credit And Macro Derivatives

We use the industrial organization approach to the microeconomics of banking, augmented by uncertainty and risk aversion, to examine credit derivatives and macro derivatives as instruments to hedge credit risk for a large commercial bank. In a partial-analytic framework we distinguish between the probability of default and the loss given default, model different forms of derivatives, and derive hedge rules and strong and weak separation properties between deposit and loan decisions on the one hand and hedging decisions on the other. We also suggest how bank specific macro derivatives could be designed from common macro indexes which serve as underlyings of recently introduced financial products.

   

بخش دانلود

  • عنوان مقاله : ...Managing Credit Risk With Credit And Macro
  • نوع فایل : PDF
  • حجم فایل : 280 کیلوبایت

دانلود فایل