Hedging under Counterparty Credit Uncertainty
This study investigates optimal production and hedging decisions for firms facing price risk that can be hedged with vulnerable contracts, i.e., exposed to nonhedgeable endogenous counterparty credit risk. When vulnerable forward contracts are the only hedging instruments available, the firm's...
| Main Authors: | , |
|---|---|
| Language: | EN |
| Published: |
2012
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10986/4736 |