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Wyszukujesz frazę "credit derivatives" wg kryterium: Temat

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    Tytuł:
    INFORMATION VALUE OF THE CREDIT RATING ON THE CREDIT DEFAULT SWAPS MARKET
    Autorzy:
    Chodnicka-Jaworska, Patrycja
    Powiązania:
    https://bibliotekanauki.pl/articles/453497.pdf
    Data publikacji:
    2017
    Wydawca:
    Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
    Tematy:
    credit rating
    credit derivatives swap
    abnormal rates of return
    Opis:
    The paper examines the impact of the countries’credit ratings changes on the cost of credit defaults swaps premium. It is assumed statistical significance abnormal returns due to changes in credit ratings assigned by the agencies. It is has been put the hipothesis that ratings events convey new information and lead to significant abnormal reactions. The study used the ratings assigned by Standard &Poor's and Moody's for the period from January 2005 to November 2015 and spreads for five-year senior unsecured CDS. To verify the hypothesis the event study method (by daily data) is applied.
    Źródło:
    Metody Ilościowe w Badaniach Ekonomicznych; 2017, 18, 3; 418-428
    2082-792X
    Pojawia się w:
    Metody Ilościowe w Badaniach Ekonomicznych
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    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
    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
    Tytuł:
    Rynek kredytowych instrumentów pochodnych w procesie zmian
    Autorzy:
    Pyka, Irena
    Czech, Maria
    Powiązania:
    https://bibliotekanauki.pl/articles/609653.pdf
    Data publikacji:
    2013
    Wydawca:
    Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
    Tematy:
    credit derivatives
    credit risk
    CDS contract
    single-name CDS contract
    multi-name CDS contract
    kredytowe instrumenty pochodne
    ryzyko kredytowe
    kontrakty CDS
    jednopodmiotowe kontrakty CDS
    wielopodmiotowe kontrakty CDS
    Opis:
    In the age of growing global debt, an increasing uncertainty and perturbations in the financial market, rapid development of credit derivatives is constantly observed. Although credit derivatives market is mainly over-the-counter and is not subject to strict regulatory discipline there is growing interest of credit contract – mainly CDS. This paper brings up a  transformation issue of credit derivatives market from 2005 to 2012 and concentrates on the determinants’ analysis of its growth.
    Artykuł nie zawiera abstraktu w języku polskim
    Źródło:
    Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia; 2013, 47, 3
    0459-9586
    Pojawia się w:
    Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Risk sharing markets and hedging a loan portfolio: a note.
    Autorzy:
    Broll, Udo
    Guo, Xu
    Welzel, Peter
    Powiązania:
    https://bibliotekanauki.pl/articles/943134.pdf
    Data publikacji:
    2017-12-20
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    risk management
    credit risk
    loan portfolio
    derivatives
    hedging effectiveness
    Opis:
    Our study features a financial institute facing credit risk. Hedging credit risk by offsetting an open position with an opposite one in the financial market is important for financial intermediaries, which are concerned with both the profitability and risk of their operations. As risk management is crucial for the financial institute, the issues of how it is optimally determined and how it adjusts to changes in the financial environment deserve closer scrutiny. We extend the analysis of hedging with financial instruments against credit risk to the case of multiple types of credit risk. We show that standard results on the optimal hedge ratio and risk management effectiveness in the case of one single source of credit risk to carry over a loan portfolio in a non-trivial but intuitive way. While we focus on credit risk and credit derivatives, our analysis can be easily applied to other financial assets, which can be traded in futures market.
    Źródło:
    Economics and Business Review; 2017, 3(17), 4; 47-54
    2392-1641
    Pojawia się w:
    Economics and Business Review
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    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
    Tytuł:
    BondSpot SA jako platforma obrotu derywatami kredytowymi
    BondSpot AS a Platform for Trading Credit Derivatives
    Autorzy:
    Czech, Maria
    Powiązania:
    https://bibliotekanauki.pl/articles/585800.pdf
    Data publikacji:
    2013
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Instrumenty pochodne
    Inżynieria finansowa
    Kredyt
    Kryzys finansowy
    Rynek kapitałowy
    Capital market
    Credit
    Derivatives
    Financial crisis
    Financial engineering
    Opis:
    The uncertainty in global economy, enforce the need for more effective management of credit risk. One of the aspects of this management is the use of credit derivatives. Although these instruments have been used for a long time, still are regarded as innovative instruments. In addition, these transactions in Poland still remains outside the regulated market. This causes danger of transforming them in tools that can be toxic and harmful for the Polish financial system. The aim of this study is the attempt to discuss the introduction of innovative financial instruments to over-the-counter-market (OTC). The author asks a question about the possibility of introducing credit derivatives on the regulated market, both in terms of legal aspect and potential of these instruments in the management of the credit risk. The study also presents balance between opportunities and risks of concentration on the regulated market. The study raises the hypothesis, that the introduction of credit derivatives to the organized market increase the potential of the Polish capital market, its innovation and popularity of which Warsaw could become financial center of Central and Eastern Europe.
    Źródło:
    Studia Ekonomiczne; 2013, 174; 199-212
    2083-8611
    Pojawia się w:
    Studia Ekonomiczne
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Analiza wybranych kredytowych instrumentów pochodnych w aspekcie wzrostu gospodarczego
    The Analysis of the Innovative Derivatives in Terms of Economic Growth
    Autorzy:
    Czech, Maria
    Powiązania:
    https://bibliotekanauki.pl/articles/592826.pdf
    Data publikacji:
    2014
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Instrumenty kredytowe
    Instrumenty pochodne
    Rynki finansowe
    Stabilność finansowa
    Wzrost gospodarczy
    Credit instruments
    Derivatives
    Economic growth
    Financial markets
    Financial sustainability
    Opis:
    Over the past few years the global economy has experienced a series of negative events, which turned out to be a consequence of the financial crisis. The crisis left mark in the global economy and led to instability and a reduction of the basic economic indicators. Consequently, several Member States have experienced an economic downturn, in which the primary source of the problem is "excessively developed" financial market, and specifically the derivatives market. The most growing segment of the financial market in the modern economy is derivatives market. This is due to the fact that these instruments offer many possibilities of their use. Research issues, will therefore hover around the market of innovative derivatives, whose natural goal is to strive for expansion. The study attempts to determine how derivatives affect the factors of economic growth and to analyze the relationship between the magnitude of increase in innovative derivatives market and economic growth.
    Źródło:
    Studia Ekonomiczne; 2014, 186 cz 2; 131-143
    2083-8611
    Pojawia się w:
    Studia Ekonomiczne
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Utilization Schemes of the Pre-Settlement Risk Limits
    Schematy wykorzystania limitów ryzyka przedrozliczeniowego
    Autorzy:
    Wybieralski, Piotr
    Powiązania:
    https://bibliotekanauki.pl/articles/36471029.pdf
    Data publikacji:
    2024
    Wydawca:
    Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
    Tematy:
    ryzyko kredytowe kontrahenta
    zarządzanie ryzykiem finansowym
    limity przedrozliczeniowe
    rynek pozagiełdowych instrumentów pochodnych
    counterparty credit risk
    financial risk management
    pre-settlement risk limits
    credit limits
    VaR limits
    OTC derivatives market
    Opis:
    The purpose of the article is to investigate the selected method employed to manage the counterparty credit risk, namely the application of various risk limits. The aim is to recognize utilization schemes of the pre-settlement risk limits in the Polish OTC derivatives market in the relationship between a financial institution and a non-financial counterparty. They are used 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. Methodology. The research method comprises the analysis of recommendations of the Polish Financial Supervision Authority as well as reports, documents and market risk management principles of selected financial institutions (WSE listed banks). Results of the research. The study indicates two utilization schemes of the pre-settlement limit setup applicable both for daily and credit-related transactions. The first one assumes that the risk requirements remain unchanged during the contract lifetime, the second one considers variable risk requirements over time. Practical implications are discussed (in relation to a notional trade size, risk exposure and margining policy).
    Celem artykułu jest rozpoznanie schematów wykorzystania limitów przedrozliczeniowych służących do zarządzania ryzykiem kredytowym kontrahenta na polskim rynku pozagiełdowych instrumentów pochodnych w relacji instytucja finansowa i przedsiębiorstwo niefinansowe. Zastosowanie przedrozliczeniowych limitów skarbowych wynikające z obowiązujących w Polsce regulacji prawnych ma również na celu usprawnienie i wsparcie codziennych działań operacyjnych w ramach procesu zarządzania ryzykiem rynkowym w instytucji finansowej. Metodyka uwzględnia analizę wybranych regulacji oraz obowiązujących przepisów prawnych, m.in. nadzorcy rynkowego oraz zasad zarządzania ryzykiem kredytowym kontrahenta instytucji finansowych. W szczególności analizie poddano zapisy Rekomendacji A Komisji Nadzoru Finansowego dotyczące zarządzania przez banki ryzykiem związanym z działalnością na instrumentach pochodnych oraz politykę ryzyka kredytowego kontrahenta wybranych banków notowanych na GPW. Rezultatem badania jest identyfikacja schematów utylizacji przedrozliczeniowych limitów skarbowych, zakładających w zakresie wielkości komponentu dotyczącego szacowania ryzyka rynkowego stały oraz zmienny jego poziom w trakcie funkcjonowania transakcji. Zastosowanie danego schematu w praktyce może mieć wpływ m.in. na wielkość nominalnej pozycji w kontrakcie, ekspozycji ryzyka oraz w konsekwencji na politykę w zakresie ustanawiania zabezpieczenia wymaganego kontraktu.
    Źródło:
    Finanse i Prawo Finansowe; 2024, 2, 42; 57-69
    2391-6478
    2353-5601
    Pojawia się w:
    Finanse i Prawo Finansowe
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Estimating the counterparty risk exposure by using the Brownian motion local time
    Autorzy:
    Bonollo, M.
    Di Persio, L.
    Mammi, L.
    Oliva, I.
    Powiązania:
    https://bibliotekanauki.pl/articles/907645.pdf
    Data publikacji:
    2017
    Wydawca:
    Uniwersytet Zielonogórski. Oficyna Wydawnicza
    Tematy:
    counterparty credit risk
    exposure at default
    local times Brownian motion
    over the counter derivatives
    Basel financial framework
    ryzyko kredytowe
    ekspozycja kredytowa
    ramy finansowe
    Opis:
    In recent years, the counterparty credit risk measure, namely the default risk in over-the-counter (OTC) derivatives contracts, has received great attention by banking regulators, specifically within the frameworks of Basel II and Basel III. More explicitly, to obtain the related risk figures, one is first obliged to compute intermediate output functionals related to the mark-to-market position at a given time no exceeding a positive and finite time horizon. The latter implies an enormous amount of computational effort is needed, with related highly time consuming procedures to be carried out, turning out into significant costs. To overcome the latter issue, we propose a smart exploitation of the properties of the (local) time spent by the Brownian motion close to a given value.
    Źródło:
    International Journal of Applied Mathematics and Computer Science; 2017, 27, 2; 435-447
    1641-876X
    2083-8492
    Pojawia się w:
    International Journal of Applied Mathematics and Computer Science
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
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