Rynek produktów strukturyzowanych CDO w warunkach światowego kryzysu finansowego

• Autorzy: Michał Buszko

Warianty tytułu

Market of CDO Structured Products in Terms of World Financial Crisis

• Języki publikacji: PL

Abstrakty

W artykule przedstawiono istotę i funkcjonowanie nowoczesnych produktów strukturyzowanych CDO, opisano ich główne typy, konstrukcje oraz sposób emisji. Artykuł zawiera również analizę rynku CDO w latach 2004-2009, tzn. w okresie najszybszego rozwoju rozważanych produktów oraz jednocześnie w okresie narastającego kryzysu finansowego na świecie. (abstrakt oryginalny)

EN

Collateralized debt obligations (CDO) are new, innovative products available to institutional investors on the global financial markets. Their development is strictly related to the subprime loans expansion. In the recent years CDO have become a financial tool of transferring worldwide a risk of American mortgage loan market. In fact, due to CDO such transfer was enormous and uncontrolled. As CDO are not ransparent nor they are traded at stock exchange, their valuation and performance assessment are very difficult. In practice, very fast growth of subprime loans in US boosted development of CDO on global financial market. On the other hand, the mentioned structured products supplied capital to subprime segment, increasing the amount of non-conforming loans and hence the risk level in the global financial sector. Because CDO played significant role in the credit risk proliferating and generation of enormous losses among biggest investment and commercial banks, the aim of this paper is to present the idea, nature and mode of functioning of CDO. Also, the paper describes the CDO market in terms of world financial crisis. (original abstract)

Słowa kluczowe

PL

Papiery wartościowe; Papiery dłużne; Ryzyko kredytowe; Sekurytyzacja aktywów; Rating

EN

Securities; Debt securities; Credit risk; Asset securitisation; Rating

• Czasopismo: Acta Universitatis Nicolai Copernici. Ekonomia
• Rocznik: 2010
• Tom: 41
• Strony: 141--157

Twórcy

autor

Michał Buszko

• Uniwersytet Mikołaja Kopernika w Toruniu

Bibliografia

• Bessis J. (2010), Risk management in banking, John Wiley & Sons, Chichester.
• Credit migration of CDO notes, 1996-2007, for US and European transact. Structured Finance. Special Report, Moody's Investor Service, 31 March, 2008.
• ESF Securitisation Data Report Q4:2008, European Securitization Forum, Securities Industry and Financial Markets Association SIFMA, http://www.sifma.org.
• Fabozzi F. J., Davis H. A., Choudry M. (2006), Introduction to Structured Finance, John Wiley & Sons, New Jersey.
• Fabozzi F., Kothari V. (2008), Introduction to Securitization, John Wiley & Sons, New Jersey.
• Global CDO Data, Securities Industry and Financial Markets Association SIFMA, http://www.sifma.org.
• Hurst R. R. (2002), Downgrade after downgrade. Why are investors still buying CDOs?, Bank One Capital Markets, Inc., 1 August.Issuance in the U.S. Bond Markets, Securities Industry and Financial Markets Association SIFMA, http://www.sifma.org.
• Kothari V. (2006), Securitization. The financial instrument of the future, John Wiley & Sons (Asia), Singapore.
• Lancaster B. P., Schultz G. M., Fabozzi F. J. (2008), Structured products and related credit derivatives. A comprehensive guide for investors, John Wiley & Sons, New Jersey.
• Shenn J. (2008), CDO Market Is Almost Frozen, JPMorgan, Merrill Say, Bloomberg.com, 5 February.
• Singer D. (2001), Securitization basics, [w:] Fabozzi F. J. (red.), Accessing capital markets through securitization, Frank J. Fabozzi Associates, Pennsylvania.