Credit risk and bank margins in structur
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Rainer Baule; Oliver Entrop; Marco Wilkens
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Article
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2008
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John Wiley and Sons
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English
β 469 KB
## Abstract This study analyzes bank margins in the German secondary market for exchangeβtraded structured financial products, with particular emphasis on the influence of banks' credit risk. A structural model allowing for the incorporation of correlation effects between market and credit risk is