Hedging with credit derivatives and its strategic role in banking competition
- The tremendous growth of markets for credit derivatives since the mid 1990's has raised questions regarding the role of these instruments in the banking industry which is heavily exposed to credit risk. However, while recent literature mainly focused on pricing and optimal decisions regarding volumes of credit derivatives the present paper centers the strategic role of these instruments in the competition between banking firms. We use a duopolistic version of the industrial organization approach to banking to find out that credit derivatives may influence banking competition. For this result to hold observability of the volume of credit derivatives held by banks is not necessary.
| Author: | Thilo Pausch, Gerhard Schweimayer |
|---|---|
| URN: | urn:nbn:de:bvb:384-opus4-711984 |
| Frontdoor URL | https://opus.bibliothek.uni-augsburg.de/opus4/71198 |
| Series (Serial Number): | Volkswirtschaftliche Diskussionsreihe (260) |
| Publisher: | Volkswirtschaftliches Institut, Universität Augsburg |
| Place of publication: | Augsburg |
| Type: | Working Paper |
| Language: | English |
| Year of first Publication: | 2004 |
| Publishing Institution: | Universität Augsburg |
| Release Date: | 2020/02/25 |
| Tag: | JEL: D21, D40, D43, G21, L13 |
| Pagenumber: | 39 |
| Institutes: | Wirtschaftswissenschaftliche Fakultät |
| Wirtschaftswissenschaftliche Fakultät / Institut für Volkswirtschaftslehre | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Journals: | Volkswirtschaftliche Diskussionsreihe |
| Licence (German): |  Deutsches Urheberrecht |
