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2009 | nr 4 | 23
Tytuł artykułu

Kredytowe instrumenty pochodne w dobie kryzysu finansowego

Warianty tytułu
Języki publikacji
PL
Abstrakty
W opracowaniu dokonano klasyfikacji kredytowych instrumentów pochodnych. Omówiono rozwój rynku kredytowych instrumentów pochodnych i związane z nim zagrożenia. Przedstawiono rolę kredytowych instrumentów pochodnych w genezie i rozprzestrzenianiu się kryzysu finansowego. Przybliżono perspektywy rynku kredytowych instrumentów pochodnych.
Czasopismo
Rocznik
Numer
Strony
23
Opis fizyczny
Twórcy
Bibliografia
  • Allen F., Carletti E. (2006), Credit Risk Transfer and Contagion, Journal of Monetary Economics, 53.
  • Allen F., Carletti E. (2008), The Role of Liquidity in Financial Crises, "Maintaining Sta-bility in a Changing Financial System", Economic Symposium of Federal Reserve Bank of Kansas City, Jackson Hole, 21-23 August 2008.
  • Arteta C, Carey M., Correa R. (2008), Why are almost all ABCP vehicles sponsored by non-U.S. banks?, 44th Annual Bank Structure Conference, Federal Reserve Bank of Chicago, 14-16 May 2008.
  • Ashcraft A., Santos J. (2007), Has the Credit Default Swap Market Lowered the Cost of Corporate Debt?, Staff Report, 290, Federal Reserve Bank of New York.
  • Ashcraft A., Scheuermann T. (2008), Understanding the Securitization of Subprime Mortgage Credit, Staff Report, 318, Federal Reserve Bank of New York.
  • Bank of England (2006), Financial Stability Report - October 2007, London.
  • Banks E., Glantz M., Siegel P. (2006), Credit Derivatives: Techniques to Manage Credit Risk for Finance Professionals, McGraw-Hill, London.
  • Batterman J., Rosenthal E. (2005), Delphi, Credit Derivatives, and Bond Trading Behavior After a Bankruptcy Filing, Fitch Special Comment, 28 November.
  • Bernanke B. (2008), Risk Management in Financial Institutions, keynote address at the 44th Annual Bank Structure Conference, Federal Reserve Bank of Chicago, 15 May, www.federalreserve.gov.
  • Bernanke B. (2009), American International Group, testimony before House Financial Services Committee, 24 March.
  • Berndt A., Douglas R., Duffie D., Ferguson M., Schranz D. (2005), Measuring Default Risk Premia from Default Swap Rates and EDF, Working Paper, Stanford University Graduate School of Business.
  • Blanco R., Brennan S., Marsh I. (2005), An Emprical Analysis of the Dynamie Relation-ship between lnvestment Grade Bonds and Default Swaps, Journal of Finance, 60.
  • Buiter W. (2008), Central Banks and Financial Crises, "Maintaining Stability in a Changing Financial System", Economic Symposium of Federal Reserve Bank of Kansas City, Jackson Hole, 21-23 August.
  • Bullock N., Mackenzie M., Sakoui A., Tett G. (2009), Big Bang arrives for credit default swap industry, Financial Times, 8 April.
  • Capon A. (2008), Obituary - the CPDO, 2006-08, Euromoney, November.
  • Das S. (2009), Surreal Realities of CDS Markets, www.rgemonitor.com, 16 January.
  • Demyanyk Y, van Hemert O. (2008], Understanding the Subprime Mortgage Crisis, Review of Financial Studies, w druku.
  • European Central Bank (2007), Financial Stability Report - December 2007, ECB, Frankfurt.
  • FSA (2008), Internal Audit Report on Supervision of Northern Rock, Financial Services Authority, London.
  • Financial Stability Forum (2008), Report of the Financial Stability Forum on en-hancing market and institutional resilience, Bank for International Settlements, Basel, 7 April.
  • Fitch Ratings (2007a), CDx Survey - Market Volumes Continue Growing While New Concerns Emerge, Special Report, 16 July.
  • Fitch Ratings (2007b), Fitch Ratings 1991-2006 U.S. Structured Finance Transition Study, Credit Market Research, 27 April.
  • Fitch Ratings (2008), Fitch Ratings Global Structured Finance 2008 Transition and Default Study, Credit Market Research, 17 March.
  • Flanagan C, Sam T. (2002), CDO Handbook, Global Structured Finance Research, JPMorgan, New York, 2 April.
  • Gorton G. (2008), The Panic of 2007, "Maintaining Stability in a Changing Financial System", Economic Symposium of Federal Reserve Bank of Kansas City, Jackson Hole, 21-23 August.
  • Greenspan A. (2004), Economic flexibility, speech at the HM Treasury Enterprise Con-ference, London, 26 January 2004 r., www.federalresenve.gov.
  • Gudmundsson M. (2008), How might the current financial crisis shape financial sector regulation and structure?, speech at the Financial Technology Congress 2008, Boston, 23 September.
  • Hirtle B. (2007), Credit Derivatives and Bank Credit Supply, Staff Report, 276, Federal Reserve Bank of New York.
  • International Monetary Fund (2007), Global Financial Stability Report - September 2007, IMF, Washington D.C.
  • King M. (2007), Speech at the Northern Ireland Chamber of Commerce and Industry, www.bankofengland.co.uk.
  • de Larosiere J., Balcerowicz L., Issing O., Masera R., McCarthy C, Nyberg L., Perez J., Ruding O. (2009), The High Level Group on Financial Supervision in the EU Report, Brussels, 25 February.
  • Moody's (2008a), Analytical Update on Guarantor Exposure at Global Banks and Securities Firms, Special Comment, February.
  • Moody's [2008b), Interpreting Financial Guarantors' Mark-to-Market Losses, Speciai Comment, July.
  • Papademos L. [2007), Opening remarks at the press briefing on the occasion of the publication of the December 2007 ECB Financial Stability Review, 12 December, www.ecb.int.
  • Tucker P. [2005), Speech at the Euromoney Global Borrowers and lnvestors Forum, 23 September, www.bankofengland.co.uk.
  • Wagner W. (2007), The Liquidity of Bank Assets and Banking Stability, Journal of Banking and Finance, 31.
  • Wellink N. (2009), Basel Committee initiatives in response to financial crisis, speech at the meeting of the Committee on Economic and Monetary Affairs European Parliament, Brussels, 30 March.
Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.ekon-element-000161415005

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