Hedging under Counterparty Credit Uncertainty

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...

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Bibliographic Details
Main Authors: Mahul, Olivier, Cummins, J. David
Format: Journal Article
Language:EN
Published: 2012
Subjects:
Contingent Pricing
Futures Pricing
option pricing G130
Financing Policy
Financial Risk and Risk Management
Capital and Ownership Structure G320
Online Access:http://hdl.handle.net/10986/4736

Internet

http://hdl.handle.net/10986/4736

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