Naslov
Credit Derivatives and it's Implication for Bank Portfolio Management

Autori
Ivanović, Slobodan ; Mujačević, Elvis ; Ivanović, Vanja

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Managing and Modelling of Financial Risks / - Ostrava, 2004, 167-178

Skup
2nd Interantional Conference

Mjesto i datum
Ostrava, Češka Republika, 08.09.2004. - 09.09.2004

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Credit risk; credit derivatives; bank portfolio management; credit swap; total return swap.

Sažetak
Credit derivatives and it's implication for bank portfolio management Credit risk is an important consideration for banks. The conventional methods of managing credit risk, such as diversification, bank loan sales, and asset securitization, offer only a partial solution to controlling credit risk exposure. In recent years, the growing market for credit derivatives has provided powerful new tools for managing credit risk that are less costly and more effective than traditional methods. Lenders such as commercial banks and investors such as mutual funds can use credit derivatives to hedge against adverse moves in credit quality of their investments. Credit derivatives are a fast-growing segment of the derivatives markets with promising applications for bankers. The two key structures are the credit swap, which transfers pure credit risk, and the total return swap, which transfers the market and credit risk of an underlying asset. Credit derivatives have many implications for bank portfolio managers, including the ability to hedge and diversify their portfolio quickly at market prices. Credit derivatives are also useful for the information they provide about the price of pure credit risk, which bank managers can incorporate into their internal pricing decisions. And finally, credit derivatives have become a key feature of securitizations.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA