Międzynarodowy rynek instrumentów transferu ryzyka kredytowego

• Autorzy: Małgorzata Anna Olszak

Warianty tytułu

International market of credit risk transfer instruments

• Języki publikacji: PL

Abstrakty

W artykule podjęto próbę odpowiedzi na pytania: jakie instrumenty umożliwiają transfer ryzyka kredytowego, jakie podmioty przerzucają ryzyko kredytowe i jakie są tego motywy, jakie podmioty przejmują ryzyko kredytowe i czym to jest uwarunkowane, jakie rodzaje ryzyka pojawiają się w związku z wykorzystaniem instrumentów transferu ryzyka kredytowego, czy rynki instrumentów transferu ryzyka kredytowego zagrażają stabilności systemu finansowego?

EN

The article presents the market of credit risk transfer instruments. It focuses on three problems. It reviews all available instruments of credit risk transfer, both the traditional ones, such as bank guarantees and 'modern' such as credit derivates. The article points out to the rising share of presented instruments in the world GDP. The next topic raised is the functioning of the market, and more precisely the characteristics of its constituting entities. This market is composed of entities transferring credit risk and entities receiving it. The entities transferring credit risk are mainly commercial banks (deposit and credit banks). The institutions receiving the credit risk, on the other hand, can be divided into two groups. The first one consists of big international institutional banks, organizing the functioning of some segments of the credit risk transfer market (e.g. the CDS, CDO market). These market organisers as a rule do not hold the received credit risk till its maturity date but they sell it to other investors. Together with other institutions, they come under the second group of entities receiving credit risk. They include, e.g. monolines, hedging funds and insurers. Finally, the problem of risk is addressed, which arises due to the transfer and reception of credit risk. The following groups of risk have been distinguished: risk arising from asymmetry of information, credit risk, contractor risk, legal and documentation risk and bad pricing risk. In the summary the authors conclude that the market of credit risk transfer instruments is a natural complement of the credit market. In the case of transactions with maturity longer than a year it is also an element of the non-regulated capital market. In comparison with mature capital markets characterised by effectiveness, high turnover liquidity and standardisation of instruments offered, this market is poorly developed.(original abstract)

Słowa kluczowe

PL

Ryzyko kredytowe; Instrumenty pochodne; Rynek instrumentów pochodnych; Transfer ryzyka

EN

Credit risk; Derivatives; Derivatives market; Risk transfer

• Czasopismo: Bank i Kredyt
• Rocznik: 2006
• Numer: nr 3
• Strony: 30--52

Twórcy

autor

Małgorzata Anna Olszak

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