Warianty tytułu
The Construction of the Portfolio of Contracts for Differences with Respect to Market Risk
Języki publikacji
Abstrakty
W pracy rozważany jest problem konstrukcji portfela kontraktów na różnice kursowe. O ile standardy kontraktów terminowych notowanych na giełdach są precyzyjnie określone i rozliczane są w taki sposób, aby inwestor w przypadku niekorzystnego dla niego rozwoju sytuacji na rynku miał możliwość uzupełnienia wymaganego depozytu zabezpieczającego, o tyle transakcje zawierane na rynku pozagiełdowym nie dają inwestorowi takiego komfortu i mogą skutkować natychmiastowym zamykaniem otwartych pozycji z istotnymi stratami dla inwestora.(fragment tekstu)
In this paper is considered the issue of the portfolio of contracts for differences (CFD). As far as the standards of contracts traded on the stock exchanges are precisely defined and treated in such a manner that the investor in case of adverse developments for him on the market have the ability to complete the required margin, so transactions on the over the counter (OTC) market do not give an investor such the comfort and can result in an immediate closing open positions with significant losses for the investor. Open CFD positions offered in the OTC market are continuously monitored in terms of fulfilment of the required security deposit (margin) and the investor is responsible for maintaining the necessary assets to fully cover the market risk. Creating a CFD portfolio investor faces a dilemma, what proportion of the funds allocated to the opening position, and which of them leave as a hedge against market risks. The Problem is so complex that many of the CFD is exposed to currency risk. Appropriate funds intended to cover unrealised losses has to secure against a ineffective margin call to supplement the security deposit and unfavourable for the investor closing his position. The work discusses the various measures of market risk exposure used by reputable financial institutions offering contracts on exchange differences on the over the counter market. In addition, proposed several measures to support the portfolio structure of the CFD, taking into account market risk.(original abstract)
Rocznik
Strony
29--43
Opis fizyczny
Twórcy
autor
- Wyższa Szkoła Zarządzania Marketingowego i Języków Obcych w Katowicach
Bibliografia
- Brown C., Dark J. & Davis K.: Exchange Traded Contracts for Difference: Design, Pricing, and Effects. "Journal Of Futures Markets" 2010, Vol. 30 (12).
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- El-Gamal M., Inanoglu H. & Stengel M.: Multivariate Estimation for Operational Risk with Judicious Use of Extreme Value Theory. "Journal of Operational Risk" 2007, Vol. 2 (1).
- Hamel A.H. & Heyde F.: Duality for Set-Valued Measures of Risk. "SIAM J. FINANCIAL MATH." 2010, Vol. 1.
- Komisja Nadzoru Finansowego. 2013. Komunikat do klientów firm inwestycyjnych w sprawie zróżnicowania instrumentów finansowych na rynku forex. Retrieved Marzec 16, 2013. http://www.knf.gov.pl/Images/instrumenty_na_rynku_forex_tcm 75-29721.pdf
- Komisja Nadzoru Finansowego. 2012. Komunikat w sprawie wyników osiąganych przez inwestorów na rynku forex. Retrieved Marzec 16, 2013. from http://www.knf. gov.pl/Images/KNF_forex_18_04_2012_tcm75-30319.pdf
- Lintner J.: The Valuation of Risk Asset and the Selection of Risk Investments in Stock Portfolios and Capial Budgtets. "Review of Economics and Statistics" 1965.
- Marinelli C., D'Addona S. & Rachev S.T.: A Comparison of Some Univariate Models For Value-At-Risk And Expected Shortfall. "International Journal Of Theoretical & Applied Finance" 2007, Vol. 10 (6).
- Mossin J.: Equilibrum in a Capial Asset Market. "Econometrica" 1966.
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171273319