Managing the Risk of Loans with Basis Risk Sell, Hedge or Do Nothing

Wall Larry D.Shrikhande Milind M.
CEIS Working Papers
Individual loans contain a bundle of risks including credit risk, and interest rate risk. This paper focuses on the general issue of bank’s management of these various risks in a model with costly loan monitoring and convex taxes. The results suggest th
Number: 143
Date: Thursday 01 March 2001
Revision Date: Thursday 01 March 2001