Broll, Udo; Schweimayer, Gerhard; Welzel, Peter - Institut für Volkswirschaftlehre, Fakultät für … - 2003
: banking, credit risk, systematic risk, credit derivative, macro
derivative
JEL classiflkation: G21
⁄Fakult ….
Keywords: banking, credit risk, systematic risk, credit derivative, macro derivative
JEL classiflkation: G21
1 Introduction …
instruments. We explicitly model a credit default swap as the main instrument
traded and show how the design of the derivative …