Czasopismo
2012
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Sekurytyzacja modelowa ryzyka i hedging inwestycji kapitałowych : wybrane modele dynamiczno-statystyczne w aspekcie ekonomicznym i demograficznym
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11--46
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
Znaczenie sekurytyzacji dla stabilności finansowej wywodzi się ze zdolności systemu bankowego do zwiększenia podaży kredytów dla odbiorców końcowych. Kiedy istnieje spadek w ryzykowności aktywów podstawowych( w naszym przypadku poprzez spadek parametru p)wzrasta możliwość podejmowania ryzyka przez system bankowy.(fragment tekstu)
Słowa kluczowe
Rocznik
Strony
11--46
Opis fizyczny
Twórcy
autor
Bibliografia
- Adrian T., Shin H.S., Liquidity and leverage, "Journal of Financial Intermediation", http://www.princeton.edu/~hsshin/working.htm, 2007
- Adrian T., Shin H.S., Financial intermediary leverage and value at risk, Federal Reserve Bank of New York and Princeton University, http://www. princeton.edu/~hsshin/working.htm, 2008
- Adrian T., Shin H.S., Financial intermediaries, financial stability and monetary policy, the Federal Reserve Bank of Kansas City Symposium at Jackson Hole, http://www.princeton.edu/~hsshin/working.htm, 2008
- Alizalde A., Repullo R.: Economic and regulatory capital in banking: what is the difference?, working paper, CEMFI, 2006
- Ashcraft A., Schuermann T., Understanding the securitization of subprime mortgage credit, Staff Report No. 318, Federal Reserve Bank of New York, http://www.newyorkfed.org/research/staff_reports/sr318.pdf, 2008
- Bemanke B., Blinder A., Credit, money and aggregate demand, "American Economic Review" 1998, Vol. 78
- Blake D., Burrows W., Survivor bonds: helping to hedge mortality risk, "Journal of Risk and Insurance" 2001, Vol. 68
- Chinloy P.T., Megbolugbe I.F., Reverse mortgages: contracting and crossover risk, "Journal of the American Real Estate and Urban Economics Association" 1994, Vol. 22(2)
- Cox S.H., Fairchild J.R., Pedersen H.W., Economic aspects of securitization of risk, "Astin Bulletin" 2000, Vol. 30
- Cummins J.D., Securitization of life insurance assets and liabilities, 2004 (manuskrypt)
- Demyanyk Y., van Hemert O., Understanding the subprime mortgage crisis, working paper, New York University, Stem School of Business, 2007
- Eisenberg L., Noe T.H., Systemic risk in financial systems, Management Science, Vol. 47, 2001
- Frees E.W., Carriere J., Valdez E.A., Annuity valuation with dependent mortality, "Journal of Risk and Insurance" 1996, Vol. 63(2)
- Gieve J., The return of the credit cycle: old lessons in new markets, http://www.bankofengland.co ,uk/publications/speeches/2008/speech33 8. pdf ,2008
- Gorton G., Souleles N., Special purpose vehicles and securitization, The Risks of Financial Institutions, Chicago: University of Chicago Press, 2006
- Greenlaw D., Hatzius J., Kashyap A., Shin H.S., Leveraged losses: lessons from the mortgage market meltdown, Report of the US Monetary Monetary Form, No. 2, http://www.chicagogsb.edu/usmpf/docs/usmpf2008confdraft. pdf, 2008
- Hyun Song Shin, Securitisaton and financial stability, "The Economic Journal" 2009, March
- Kashyap A., Rajan R., Stein J., Rethinking capital regulation, paper for the Federal Reserve Bank of Kansas City Symposium at Jackson Hole, 2008
- Keys B., Mukherjee, T. Seru A., Vig V., Did securitization lead to lax screening? Evidence from subprime loans, working paper, University of Chicago GSB, 2007
- Lin Y., Cox S.H., Natural hedging of life and annuity mortality risks, 2005 (manuskrypt)
- Mian A., Sufi A., The consequences of mortgage credit expansion: evidence from the 2007 mortgage default crisis, working paper, University of Chicago GSB, 2007
- Mishkin F., On leveraged losses: lessons from the mortgage market meltdown, http://www.federalreserve.gov/newsevents/speech/mishkin20080229a.htm, 2008
- Shiller R.J., Weiss A.N., Moral hazard in home equity conversion, NBER Working Paper 1998, No. 6552
- Shin H. S., Risk and liquidity in a system context, "Journal of Financial Intermediation" 2008, Vol. 17
- Szymanoski E.J., Risk and the home equity conversion mortgage, "Journal of the American Real Estate and Urban Economics Association" 1994, Vol. 22
- Van den Heuvel S., The bank capital channel of monetary policy, working paper, Wharton School, University of Pennsylvania, http://finance.wharton. upenn.edu/~vdheuvel/BCC.pdf, 2002
- Vasicek O., The distribution of loan portfolio value, http://www. moodyskmv.com/conf04/pdf/papers/dist_loan_port_val.pdf, 2002
- Wang L., Valdez E.A., Piggott J., Securitization of longevity risk in reverse mortgages, 2007 (manuskrypt)
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171255523