Podejście wewnętrznych ratingów ryzyka w NUK a procykliczność działalności kredytowej

• Autorzy: Izabela Majer
• Języki publikacji: PL

Abstrakty

Celem niniejszego artykułu jest przegląd literatury dotyczącej zależności między koniunkturą gospodarczą a parametrami metody wewnętrznych ratingów ryzyka. (fragment tekstu)

Słowa kluczowe

PL

Rating; Ryzyko; Ryzyko kredytowe; Procykliczność; Koniunktura gospodarcza; Cykl koniunkturalny

EN

Rating; Risk; Credit risk; Procyclicality; Business trends; Business cycles

• Czasopismo: Master of Business Administration
• Rocznik: 2007
• Numer: nr 3 (86)
• Strony: 10--19

Twórcy

autor

Izabela Majer

• Szkoła Główna Handlowa w Warszawie

Bibliografia

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• Financial Service Authority (2005a) Issues Arising from Policy Visits on Exposure at Default on Large Corporate and Mid Market Portfolios, www.fsa.gov.uk, March.
• Financial Service Authority (2005b) Own estimates of exposure at default, wwsv.fsa.gov.uk, March.
• Finger C. (1999) Conditional Approaches for CreditMetrics@ Portfolio Distributions, CreditMetrics@ Monitor, April
• Frye, J. (2000) Depressing Recoveries, Emerging Issues Series, Supervision and Regulation Department, Federal Reserve Bank of Chicago, www.defaultrisk.com, October.
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• Majer, I. (2006) Podejście standartowe w NUK a procykliczność działalności kredytowej. MBA, nr 2 (85), s. 6-14.
• Schuermann, T. (2004) What Do We Know about Loss Given Default? , www.defaultrisk. com, February,
• Trück, S., Harpaintner, S. , and S,T, Rachew (2005) A Note on Forecasting Aggregate Recovery Rates with Macroeconomic Variables, www.defaultrisk.com, March.