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VALUE-AT-RISK ASSESSMENTS FOR BANKS AND OTHER PARTICIPANTS IN FINANCIAL MARKETS

✍ Scribed by WARREN HOGAN

Book ID
118083351
Publisher
Economic Society of Australia
Year
1998
Tongue
English
Weight
790 KB
Volume
17
Category
Article
ISSN
0812-0439

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πŸ“œ SIMILAR VOLUMES

Credit risk and bank margins in structur
Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates
✍ Rainer Baule; Oliver Entrop; Marco Wilkens πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 469 KB

## Abstract This study analyzes bank margins in the German secondary market for exchange‐traded 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