Хеджиране на кредитния риск в банковото кредитиране
Credit risk hedging in bank lending

Author(s): Atanas Kamelarov
Contributor(s): Garabed Minassian (Editor), Dancho Petrov (Editor)
Subject(s): Economy, Financial Markets
Published by: Е-литера Софт ЕООД
Keywords: bank risk management; credit derivatives; credit risk hedging
Summary/Abstract: The book is focused on the investigation of credit risk hedging as a part of banks’ risk governance framework. It explores the use of credit derivatives as a main hedging tool for banks’ credit risk exposures after the onset of the Global Financial Crisis in 2008 has diminished the relevance of traditional and synthetic securitization. The practice of banks in the euro area in the field of securitization of their own loan portfolios, as well as credit derivatives usage in banking and trading books, are assessed through a thorough exploration of these operations for 2006-2009. The analysis reveals that credit derivatives have retained their role in active credit risk management in these turbulent years. The use of credit derivatives is further analyzed through an econometric model which identifies determinants of their role as a risk management tool for euro area banks. The findings of empirical research show that in the period 2006-2009 the banks in the euro area used credit derivatives primarily as a hedging tool. Although their usefulness for active credit risk management, the credit derivatives’ usage raises concerns about their risk potential in light of systemic risk and the inclination of banks toward more risky business. The proposed European regulatory framework in markets of over-the-counter derivatives is discussed, and the implications on credit risk hedging are assessed. So far as regulatory interventions follow those measures already introduced by the market participants, the potential of credit risk hedging is not constrained. The review of bank practices in the EU member states from Central and Eastern Europe (CEE) shows a limited usage of credit derivatives at this stage. Only a few credit institutions in CEE disclose positions in credit derivatives and the results of the econometric model help explain this situation.

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