Wszystkie pola: derivatives market - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: EMIR and the OTC derivatives market
Autorzy:: Bilski, Artur
Michalski, Paweł
Powiązania:: https://bibliotekanauki.pl/articles/478557.pdf
Data publikacji:: 2013
Wydawca:: Europejskie Stowarzyszenie Studentów Prawa ELSA Poland
Tematy:: EMIR
OTC
derivatives market
Opis:: EMIR will fundamentally alter the structure of the OTC derivatives markets.41 Institutions will have to adjust their business models, examine their profitability perspectives, scan through their operational data in order to adapt to the new regulation. On the other hand the outcome of EMIR is (arguably) going to create greater transparency which can in effect lead to facilitating efficient pricing of OTC derivatives contracts and greater financial stabilization
Źródło:: Przegląd Prawniczy Europejskiego Stowarzyszenia Studentów Prawa ELSA Poland; 2013, 1; 47-52
2299-8055
Pojawia się w:: Przegląd Prawniczy Europejskiego Stowarzyszenia Studentów Prawa ELSA Poland
Dostawca treści:: Biblioteka Nauki

Artykuł

Zmień widok

na półce

Skocz do pozycji: 2.

Tytuł:: Development trends of the international derivatives market
Autorzy:: Motorniuk, U.
Terebukh, M.
Kharchuk, V.
Powiązania:: https://bibliotekanauki.pl/articles/410758.pdf
Data publikacji:: 2016
Wydawca:: Polska Akademia Nauk. Oddział w Lublinie PAN
Tematy:: derivatives
interest rate derivatives
foreign exchange derivatives
commodity derivatives
equity derivatives
credit derivatives
futures
options
Opis:: The factors forming international derivatives market trends are researched in this article. The history of the formation of the global derivatives market was analyzed, in particular, events which have led to the growth of the derivatives market. Global derivatives market has revealed major changes in its trends and witnessed the gradual transformation of its structure, observed in recent years. Global derivatives market has revealed major changes in its trends and witnessed the gradual transformation of its structure, observed in recent years. Derivative risks were considered. Benefits of derivatives make them indispensable to the global financial system and the economy The essence, purpose and benefits of the use of derivatives and their role in the modern global financial markets analyzed. The classification of derivatives considered. The main uses for derivatives were single out. The dynamics of global exchange and OTC derivatives markets were analyze. Volatility of the economic environment was significantly improved, leading to a significant increase in financial risks and caused both the professional market and to institutional investors in dire need of new types of derivatives that would enable to effectively hedge to reduce losses in the event of unfavorable changes market and receive additional income from speculative transactions in the market. Possibility of exchange trading for OTC derivatives was emphasized. Courtesy comparative description of the scope and structure of the exchange and OTC derivatives markets were provided. The dynamics of world markets, interest rate derivatives and currency derivatives and studied their structure. The main trends and prospects of the modern international derivatives market are determined.
Źródło:: ECONTECHMOD : An International Quarterly Journal on Economics of Technology and Modelling Processes; 2016, 5, 1; 63-71
2084-5715
Pojawia się w:: ECONTECHMOD : An International Quarterly Journal on Economics of Technology and Modelling Processes
Dostawca treści:: Biblioteka Nauki

Artykuł

Zmień widok

na półce

Skocz do pozycji: 3.

Tytuł:: An Analysis of Insider Trading in the Credit Derivatives Market Using the Event Study Methodology
Autorzy:: Wareluk, Ewa
Powiązania:: https://bibliotekanauki.pl/articles/417414.pdf
Data publikacji:: 2013
Wydawca:: Akademia Leona Koźmińskiego w Warszawie
Tematy:: insider trading
information flow
event study
credit derivatives
Opis:: Purpose: In this paper I investigate the information fl ow between the credit default swap market and the stock market as well as insider trading in the credit default swap market. Methodology: For my analysis I use the event study methodology. Using the event study methodology I calculate abnormal stock returns and abnormal credit default swap premium changes. The analysis is based on 175,874 observations collected for 92 companies between the years 2001 and 2010. Findings: The results show that the information fl ow from the credit default swap market to the stock market is the most signifi cant in terms of negative rating outlooks. The information fl ow is much less signifi cant in relations to negative surprises during announcements of annual fi nancial results and rating upgrades. Evidence of insider trading is also most evident with reference to negative rating outlooks. Additionally, a distinctive feature of the credit default swap market and the stock market is the asymmetric response to negative and positive credit information. Research limitations: The event study methodology does not consider other potentially important reasons for the information flow between markets than the ones actually investigated. The credit events and credit risk information used in this research are just a proposal and can be extended by future researchers. Originality: This paper discusses a new research area. The main research area in terms of insider trading is still the stock market, with special focus on the US market. I decided to explore the insider trading phenomenon in the credit default swap market. I only considered contracts that are quoted with reference to European underlying assets. This part of the fi nancial market is attractive in terms of economic research as credit derivatives are more commonly used not only in North America but also in Europe.
Źródło:: Management and Business Administration. Central Europe; 2013, 21, 4(123); 25-54
2084-3356
Pojawia się w:: Management and Business Administration. Central Europe
Dostawca treści:: Biblioteka Nauki

Artykuł

Zmień widok

na półce

Skocz do pozycji: 4.

Tytuł:: Linkages of natural gas and oil futures prices on the American and European derivatives market
Autorzy:: Łęt, Blanka
Powiązania:: https://bibliotekanauki.pl/articles/584121.pdf
Data publikacji:: 2017
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:: natural gas
crude oil
derivative market
constant conditional correlation model
Opis:: In recent years, the world natural gas market is changing mainly due to the wid-er access to LNG (Liquefied Natural Gas). This technology allows to trade between the market participants all over the world. The natural gas prices on the American and European market are benchmarked to Henry Hub and National Balancing Point (NBP) natural gas. The goal of this paper is to investigate whether the listings of natural gas in the derivatives markets are linked and to analyse the relationship between natural gas and crude oil prices. We show that the probability distribution of returns is not normal and that there is a strong ARCH effect. We use multivariate GARCH model to describe the linkages between several series. We take into account two return series of natural gas futures contracts (Henry Hub and National Balancing Point) and two returns series of crude oil futures contracts (West Texas Intermediate and Brent) to measure the strength of linkages across two commodity markets of the most important fossil fuels.
Źródło:: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu; 2017, 482; 158-168
1899-3192
Pojawia się w:: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Dostawca treści:: Biblioteka Nauki

Artykuł

Zmień widok

na półce

Skocz do pozycji: 5.

Tytuł:: Pre-Settlement Risk Limits for Non-Financial Counterparty in the Polish Over-the-Counter Derivatives Market
Autorzy:: Wybieralski, Piotr
Powiązania:: https://bibliotekanauki.pl/articles/16729064.pdf
Data publikacji:: 2023
Wydawca:: Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
Tematy:: counterparty credit risk
financial risk management
pre-settlement risk limits
VaR limits
OTC derivatives market
Opis:: Theoretical background: The 2008/2009 financial crisis, the COVID-19 pandemic outbreak in 2020 or the Russian invasion of Ukraine in February 2022, all these affected market volatility causing greater interest in counterparty credit risk (CCR) management especially in the OTC derivatives market. This study investigates selected method to mitigate the CCR, namely the application of various risk limits. The research is focused particularly on the pre-settlement risk that financial institutions face after transaction conclusion until the contract’s final settlement. Instead of one single limit there may be a wide range of different treasury limits (a multiple treasury limit setup) applied not only to cover the credit exposure but also to support and enhance the entire market risk management process and day-to-day operations in the financial institutions. Purpose of the article: The paper examines treasury limits employed to manage pre-settlement risk in the Polish OTC derivatives market in the relation between financial institution and non-financial institution. The current literature on this subject includes works on various risk limits, especially in the Polish inter-bank market, however, there is still no broader view on this topic from the analysed perspective. The study indicates different pre-settlement risk limits to be applied in practice both for daily and credit-related transactions considering multiple determinants, such as counterparty and financial instrument type, asset class or collateral form. Research methods: Research methods comprise the analysis of guidelines and recommendations of the Polish Financial Supervision Authority as well as reports, documents and market risk management principles of selected financial institutions. Particular attention is paid to the analysis of legal backgrounds on treasury limits in Poland and bank’s sources, such as master agreements, general conditions of cooperation in the field of treasury products, regulations, information brochures, etc. Selected data from the 2022 Triennial Central Bank Survey of Foreign Exchange and OTC Derivatives Market Activity in Poland is used in the context analysis. Main findings: Different determinants of pre-settlement risk limit setup are identified and on this basis a directory of pre-settlement treasury limits is developed. The paper indicates also some challenges related to their practical application, concerning, for instance, the breaches of contractual terms (events of default), timely renewal of treasury limit or issues regarding the market risk estimation.
Źródło:: Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia; 2023, 57, 1; 219-235
0459-9586
2449-8513
Pojawia się w:: Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
Dostawca treści:: Biblioteka Nauki

Artykuł

Zmień widok

na półce

Skocz do pozycji: 6.

Tytuł:: Problem ryzyka kontrahenta na rynku pozagiełdowych instrumentów pochodnych
Counterparty Risk Problem on the over the Counter Derivatives Market
Autorzy:: Mrzygłód, Urszula
Szmelter, Monika
Powiązania:: https://bibliotekanauki.pl/articles/588442.pdf
Data publikacji:: 2013
Wydawca:: Uniwersytet Ekonomiczny w Katowicach
Tematy:: Giełda papierów wartościowych
Instrumenty pochodne
Ryzyko finansowe
Zarządzanie ryzykiem
Derivatives
Financial risk
Risk management
Stock market
Opis:: Financial crisis that began in 2007 on the U.S. mortgage market with remarkable dynamics reached global financial world. It consequences impaired stability of the financial markets and banking systems, and weakened the economies of many countries. One of the most important factors occurring during the financial crisis was the sudden surge in the counterparty risk. Counterparty risk is a kind of credit risk and is characterized by a situation that the counterparty to a transaction defaults before the final cash flow settlement of the transaction. The purpose of this article is to present the specific problem of counterparty risk in the perspective of risk management techniques in the OTC derivatives market and moreover to explain the EMIR - an important regulatory initiative in this area.
Źródło:: Studia Ekonomiczne; 2013, 174; 118-128
2083-8611
Pojawia się w:: Studia Ekonomiczne
Dostawca treści:: Biblioteka Nauki

Artykuł

Zmień widok

na półce

Skocz do pozycji: 7.

Tytuł:: Makroekonomiczne determinanty rozwoju rynku walutowych instrumentów pochodnych w Polsce
Macroeconomic determinants of development of foreign exchange derivatives market in Poland
Autorzy:: Gierach, Emilia
Powiązania:: https://bibliotekanauki.pl/articles/907383.pdf
Data publikacji:: 2012
Wydawca:: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Opis:: The main aim of this article, is to analyze and evaluate macroeconomic determinants of development of currency derivatives market in Poland. The study has been divided to three parts. In the first section I have done the analyze of domestic market of foreign exchange derivatives on a background of global markets. The second part has analytical convention and has been devoted to discussion about dependencies between selected macroeconomic indicators and turnover of currency derivatives market in Poland. In the summary part I have concluded proposals and recommendations from conducted analyzes and the forecast concerning the future of Polish derivatives market.
Źródło:: Acta Universitatis Lodziensis. Folia Oeconomica; 2012, 273
0208-6018
2353-7663
Pojawia się w:: Acta Universitatis Lodziensis. Folia Oeconomica
Dostawca treści:: Biblioteka Nauki

Artykuł

Zmień widok

na półce

Skocz do pozycji: 8.

Tytuł:: Nowe regulacje bezpiecznego obrotu instrumentami pochodnymi na rynku pozagiełdowym w Polsce
New Safety Regulations for the OTC Derivatives Market in Poland
Autorzy:: Pyka, Irena
Muszyński, Mateusz
Powiązania:: https://bibliotekanauki.pl/articles/585974.pdf
Data publikacji:: 2015
Wydawca:: Uniwersytet Ekonomiczny w Katowicach
Tematy:: Bezpieczeństwo finansowe
Finansowe instrumenty pochodne
Instrumenty pochodne
Rynek instrumentów pochodnych
Rynek pozagiełdowy
Derivatives
Derivatives market
Financial derivatives
Financial security
OTC market
Opis:: Rozwój nieregulowanego rynku instrumentów pochodnych w Polsce, po globalnym kryzysie finansowym został zharmonizowany z nowymi regulacjami rynku OTC strefy euro. W opracowaniu analizuje się zachodzące w nim zmiany, wykazując, że obserwowany wzrost obrotów na nieregulowanym rynku pozagiełdowych instrumentów pochodnych w Polsce jest wynikiem szeregu autonomicznych czynników, niezależnych od działań międzynarodowych nadzorców i regulatorów. Transformowane na polski nieregulowany rynek instrumentów pochodnych zmiany zasad jego funkcjonowania nie hamują więc dynamiki i przekształceń w rodzajowej i podmiotowej strukturze obrotu derywatywami w Polsce. W długim okresie mogą jednak prowadzić do ograniczenia na nim popytu i podaży oraz zmniejszenia skali jego fragmentaryzacji.
After the period of the global financial crisis, the OTC derivatives market in Poland has been harmonized with the new legislative regulations applied in the euro zone. This paper provides an analysis of the substantial changes within Polish OTC market over the last few years and indicates that the increasing turnover is mainly caused by the influence of autonomous factors, independent from international regulatory institutions and supervisors. Therefore, it is important to note that the new implemented solutions do not slow down the OTC market growth dynamics and its structural transformations. However, further development may lead to the reduction of supply and demand for derivatives in the long term.
Źródło:: Studia Ekonomiczne; 2015, 238; 117-131
2083-8611
Pojawia się w:: Studia Ekonomiczne
Dostawca treści:: Biblioteka Nauki

Artykuł

Zmień widok

na półce

Skocz do pozycji: 9.

Tytuł:: Giełdowy rynek instrumentów pochodnych w Polsce – szanse i zagrożenia dla zintegrowanego rozwoju
Exchange derivatives market in Poland – opportunities and threats for integrated development
Autorzy:: Śpiewak, Tomasz
Powiązania:: https://bibliotekanauki.pl/articles/548543.pdf
Data publikacji:: 2017
Wydawca:: Uniwersytet Rzeszowski. Wydawnictwo Uniwersytetu Rzeszowskiego
Tematy:: instrumenty pochodne
zarządzanie ryzykiem
transformacja
derivatives
risk management
transformation
Opis:: W pracy przedstawiona została analiza wybranych aspektów zarządzania ryzykiem w przedsiębiorstwie w świetle zachodzących procesów transformacji społeczno-gospodarczej na przełomie XX i XXI wieku w Polsce. W takich warunkach niezbędna jest budowa efektywnego systemu zarządzania ryzykiem w przedsiębiorstwie, ukierunkowanego na tworzenie wartości. Niezbędne dla rozwoju systemów zarządzania ryzykiem w polskich przedsiębiorstwach jest zwiększenie dostępności narzędzi ograniczania ryzyka oraz podwyższenie poziomu wiedzy na temat tych instrumentów. W świetle zachodzących przemian społeczno-gospodarczych, wdrażanie systemów zarządzania ryzykiem jest warunkiem koniecznym utrzymania, a także poprawy pozycji konkurencyjnej polskich przedsiębiorstw. Rozwój rynku instrumentów pochodnych jest niezbędny z punktu widzenia utrzymania konkurencyjności polskiego rynku w kontekście integracji z Unią Europejską. Dostępność szerokiego wachlarza instrumentów pochodnych dla podmiotów gospodarczych stanowi niezbędny warunek upowszechniania systemów zarządzania ryzykiem, a w konsekwencji poprawy ich pozycji rynkowej. W świetle zachodzących przemian społeczno-gospodarczych, wdrażanie systemów zarządzania ryzykiem jest warunkiem koniecznym utrzymania lub poprawy pozycji konkurencyjnej polskich przedsiębiorstw.
The market of derivative instruments is the youngest segment of the Polish financial market. On the floors of the Stock Exchange in Warsaw derivatives debuted on 16 January 1998, thus almost after 7 years of the operation of the Polish public market. An analysis of the development of this market segment for the last 10 years can incline us to formulate several equivocal conclusions. On the floors of the Stock Exchange in Warsaw in the years 1998-2010, there appeared both futures contracts, index units and financial options. One must give credit to some attempts to differentiate the arrangement of basic instruments that are available to investors; they include shares, indexes, currencies, and interest rates. Similarly, it is impossible not to notice dominance of the derivative market quoted on the floor of GPW SA over the share market in relation to the turnover value. All this evidences without any doubt that development of the exchange market of derivative instruments in Poland is proceeding. On the other hand, however, one should not forget about the phenomena that can evidence occurrence of some weaknesses in development of the said instruments on the regulated markets. Such weaknesses may include, for example, a slow pace of derivative development except for futures contracts for WIG20. Another threat for development of the Polish regulated market of derivative instruments is the structure of the market participants with the dominance of individual investors, which, in connection with dominance of futures contracts for index WIG20 in the turnover, means that transaction on GPW SA are primarily of the speculative character. A barrier for development of the derivative instruments market may be an opinion, which burdens it, that such instruments are the riskiest instruments of the financial market, responsible for escalation of the crisis on the global financial markets. Investments on the capital market are associated with risk. It is suggested erroneously, however, that risk is included in the market itself. It must be stressed that risk depends on the behaviour of a person who realizes an investment. We must remember, however, that the strongest development catalyst of the regulated market of derivative instruments in Poland is possibilities that they give. Derivative instruments may be the construction basis of hedging strategies, which in the past constituted the main premise for development of the regulated derivative market on the global stock exchanges, starting since the 1970s. The specific construction of derivative instruments makes them the most popular tool used in the comprehensive financial engineering, first of all, in construction of investment strategies. Moreover, the said instruments may be used in arbitrage strategies created on the border between the futures market and the cash market. To sum up, the development level of the regulated market of derivative instruments in Poland should be considered as too low. Except for indexed futures contracts (the 4th place among European stock exchanges in relation to the turnover value) the exchange market is featured by a low level of development in relation to differentiation of the offered instruments and their liquidity. Further development of the Polish market of derivative instruments may, in a perspective of several years, facilitate creation of an extended platform of risk management instruments, used both by exchange investors and by businesses.
Źródło:: Nierówności Społeczne a Wzrost Gospodarczy; 2017, 52; 510-526
1898-5084
2658-0780
Pojawia się w:: Nierówności Społeczne a Wzrost Gospodarczy
Dostawca treści:: Biblioteka Nauki

Artykuł

Zmień widok

na półce

Skocz do pozycji: 10.

Tytuł:: Identyfikacja spekulacji na rynkach terminowych towarów rolnych
The identification of speculationon the terminal commodity markets
Autorzy:: Malik, Gabriela
Powiązania:: https://bibliotekanauki.pl/articles/425040.pdf
Data publikacji:: 2013
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:: speculations on financial markets
soft commodity derivatives market
time series analysis
ARIMA model
one-step forecast errors
Opis:: The purpose of this article is to identify speculative activities on the futures commodity market of the CME and to investigate the tendencies of such activities by classifying them according to whether their impact on the market is stabilizing or destabilizing. That goal was accomplished by generating one-step-forecasts for the monthly returns of the future contracts with the shortest time left to expiration, and then examining tendencies in the forecast error series. The mentioned-above predictions were obtained by means of the ARIMA model for which best parameterization was identified based upon the value of AIC. Tendencies in the prediction errors were quantified using the linear trend formula, estimated in the sub-periods. The predictions of tendencies in the error series, covering three years staring at the end of the sample, were calculated after fitted the best ARIMA model in order to catch the dynamic structure of the series under consideration.
Źródło:: Econometrics. Ekonometria. Advances in Applied Data Analytics; 2013, 4(42); 140-152
1507-3866
Pojawia się w:: Econometrics. Ekonometria. Advances in Applied Data Analytics
Dostawca treści:: Biblioteka Nauki

Artykuł

Zmień widok

na półce

Informacja

Wyszukujesz frazę "derivatives market" wg kryterium: Wszystkie pola

Źródło danych

Dostawca treści

Kolekcja

Rok wydania

Wydawca

Temat

Autor

Typ dokumentu

Język