Warianty tytułu
The Rate Equation of the Cost Annulment of the Firsy Polish Euro-Bonds
Języki publikacji
Abstrakty
The author focuses on the rate equation of the cost of annulling the first Polish Euro-bonds in the debt currency and subsequently in the currency of the emitter. She discusses the possibility of solving the equation of the cost rate in domestic currency in the case of a crawling rate of the emission value. Owing to the fact that the currency rate crawls only during certain periods of time, it is proposed to calculate indices of the growth of the debt currency rate upon the basis of the principle of the equal value of interest in two currencies. With this purpose in mind, the author constructed a profitability curve for the Polish market by means of a method which consists of replacing observations of treasury bonds with permanent interest by parameters of suitable zero-coupon bonds. The estimation of the coefficients of the cost rate equation was obtained by, for example, a market prediction of the average annual devaluation rate during the time up to the purchase of Euro-obligations equal to 11%. (original abstract)
Słowa kluczowe
Twórcy
autor
- Szkoła Główna Handlowa w Warszawie
Bibliografia
- [1] Bijak W., Podgórska M., Utkin J., Matematyka finansowa, Bizant, Warszawa 1994.
- [2] Blake D., Financial Market Analysis, McGraw-Hill, London 1990.
- [3] Francis J.C., Wolf A. - wyd., The Handbook of Interest Rate Risk Management, Irwin Professional Publ., New York 1994.
- [4] Garbade K.D., Comparing Yields on Zeros to Yields on Treasury Bonds. W: "Topics in Money and Securities Markets". Bankers Trust Co., New York 1984, s. 1-7.
- [5] Jacquillat B., Solnik B., Marches financiers. Gestion de portefeuille et des risques. Dunod, Paris 1990 (wydanie drugie).
- [6] Kędziorek J., Kędziorek W., Koszty uzyskiwania kredytów zlotowych i dewizowych w standardowej ofercie banków komercyjnych dla polskich kredytobiorców. Bank i Kredyt Nr 3/1995, s. 30 - 37.
- [7] Ladko A., Wybrane instrumenty rynku pieniężnego i kapitałowego. Biblioteka Menedżera i Bankowca, Warszawa 1994.
- [8] Le guide Eska des marches des capitaux, Rozdział 4: Oudet B., Marche obligatoire. Editions Eska, Paris 1989.
- [9] Minguet A., Les techniques de gestion du risque d'interet. P.TJ.F. Paris 1993.
- [10] Solnik B., International Investments. Addison-Wesley, N.. 1988.
- [11] Utkin J., Rynkowe prognozy stóp inflacji i dewaluacji. Przegląd Statystyczny 3-4 (1996).
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
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