Kredytowe instrumenty pochodne

• Autorzy: Radosław Grontecki , Tomasz Kurnatowski

Warianty tytułu

Derivative Credit Instruments

• Języki publikacji: PL

Abstrakty

W niniejszych rozważaniach prezentowane są kredytowe instrumenty pochodne, będące jednym z najdynamiczniej rozwijających się elementów rynków finansowych na świecie. Celem opracowania jest udowodnienie, że zastosowania tych instrumentów obejmują bardzo szeroki zakres i wykraczają daleko poza zabezpieczenie ryzyka kredytowego emitenta instrumentu referencyjnego. (fragment artykułu)

EN

The paper objective is to present credit derivatives instruments, which are both an interesting marriage of credit risk and financial engineering and one of the most dynamically developing areas of the world's financial markets. The article consists of the analysis of an economic point, risk involved, valuation and application of credit derivatives. Applications include both legal practices (credit risk management and measurement, managing capital requirements, assets and liabilities management, new opportunities for investments, speculations and arbitrage) and illegal ones (insider trading and creative accounting). The aim of the article is to present both opportunities and threats arising from the use of this complex instruments, as it both creates new risks (legal, credit, operations) and at the same time, is beneficial for managing and measuring the existing risk. As refers to all derivative instruments, this market is rapidly changing, hence, the authors try to point out new directions for growth in credit derivatives, such as passing trading on to regulated markets. (original abstract)

Słowa kluczowe

PL

Instrumenty pochodne; Rynek instrumentów pochodnych; Ryzyko kredytowe

EN

Derivatives; Derivatives market; Credit risk

• Czasopismo: Zeszyty Naukowe / Szkoła Główna Handlowa. Kolegium Gospodarki Światowej
• Rocznik: 2007
• Numer: nr 22
• Strony: 213--247

Twórcy

autor

Radosław Grontecki

autor

Tomasz Kurnatowski

Bibliografia

• Basel Committee on Banking Supervision, International Convergence of Capital Measurement and Capital Standards. A Revised Framework, Basel 2004.
• R. Beales, Delphi Defied: How the Credit Derivatives Business is Finding Ways to Retain its Poise, "Financial Times" 1.11.2005.
• Cash Settlement of Credit Derivatives: A Cure or a Nostrum?, http://streetwiseprofessor.com/ ?p=18
• Directive 2006/48/ec of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions, OJ 2006, L 177.
• DNA Training and Consulting Newsletter Issue" 2004, No. 22.
• International Swaps and Derivatives Association, 2003 ISDA Credit Derivatives Definitions, New York 2003.