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2008 | 16 | nr 4 | 36-47
Tytuł artykułu

Zmienność stopy odzysku w momencie niewypłacalności w świetle teoretycznego dorobku nauk finansowych

Warianty tytułu
Języki publikacji
PL
Abstrakty
Zarządzanie ryzykiem kredytowym w bankach ulega w ostatnich latach istotnym przeobrażeniom. Źródłem tych zmian jest nie tylko rozwój rynków finansowych związany z powstawaniem nowych instrumentów kredytowych, lecz przede wszystkim dynamiczny rozwój technik informatycznych, które pozwalają wdrażać skomplikowane algorytmy obliczeniowe i upowszechniać ilościowe metody analizy ryzyka kredytowego. (fragment tekstu)
Rocznik
Tom
16
Numer
Strony
36-47
Opis fizyczny
Twórcy
  • Szkoła Główna Handlowa w Warszawie
Bibliografia
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  • Altman, E.I., Brady, B., Resti, A., Sironi, A. (2003), The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications, New York University Salomon Center, Stern School of Business, working paper, http://www. stern.nyu.edu
  • Altman, E.I., Gande, A., Saunders, A. (2003), Informational Efficiency of Loans versus Bonds: Evidence from Secondary Market Prices, New York University Salomon Center, Stern School of Business, working paper, http://www.stern.nyu.edu
  • Andritzky, J.R. (2003), Implied Default Probabilities and Default Recovery Ratios: An Analysis of Argentine Eurobonds, 2000-2002, working paper, http://www.vfs.untzh.ch
  • Arner, R., Cantor, R., Emery, K. (1998), Recovery Rates on North American Syndicated Bank Loans, 1989-2003, Moody's Investors Service — Global Credit Research, June, http://www. moodyskmv.com
  • Asarnow, E., Edwards, D. (199S), Measuring Loss on Defaulted Bank Loans: A 24-Year Study. Journal of Commercial Lending, Vol. 77, No. 7, March, p. 11-23, http://www.defaultrisk.com
  • Batterman, J., Mancuso, P., Verde, M. (2006), The Role of Recovery Rates in CDS Pricing, Fitch Ratings, http://www.fitchratings.com
  • Bos, R.J., Keisman, D., Kelhofer, K. (2002), Ultimate Recovery in an Era of record Defaults. Standard & Poor's Ratings Direct, July, http://www.standardandpoors.com
  • Bulow, J., Rogoff, K. (1989), A Constant Recontracting Model of Sovereign Debt. Journal of Political Economy, No. 97, p. 155-178.
  • Cantor, R., Varma, P. (2004), Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers, 1983 — 2003. Moody's Investors Service — Global Credit Research, December, http://www.moodyskmv.com
  • Diamond, D.W. (1984), Financial Intermediation and Delegated Monitoring. The Review of Economic Studies, No. 51, pp. 393-414.
  • Dieckmann, S., Spencer, M.J., Strickland D. (2006), Bondholder Recovery and Time in Default: Evidence from the Roaring Twenties, working paper, http://ssrn.com
  • Duffie, D., Pedersen, L.H., Singleton, K.J. (2001), Modeling Sovereign Yield Spreads: A Case Study of Russian Debt, EFA 2001 Barcelona Meetings, working paper, http://ssrn.com
  • Dullmann, K., Trapp, M. (2005), Systematic Risk in Recovery Rates of US Corporate Credit Exposures, in: Altman, E.I., Resti, A., Sironi, A. (ed.), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London.
  • Eaton, J., Gersovitz, M. (1981), Debt with Potential Repudiation: Theoretical and Empirical Analysis. Review of Economic Studies, No. 48, pp. 289-309.
  • Felsovalyi, A., Hurt, L. (1998), Measuring Loss on Latin American Defaulted Bank Loans, working paper, http://ssrn.com
  • Franks, J.R., Torous, W.R. (1989), An Empirical Investigation of U.S. Firms in Reorganization. Journal of Finance, Vol. 44, pp. 747-769.
  • Frye, J. (2004), Collateral Damage. Risk, April, pp. 91-94.
  • Gibson, R., Sundaresan, M. (1999), A Model of Sovereign Borrowing and Sovereign Yield Spreads, Graduate School of Business, Columbia University.
  • Generalny Inspektorat Nadzoru Bankowego (2004), Formalne i praktyczne aspekty windykacji należności bankowych w Polsce, Warszawa, http://www.nbp.pl
  • Gorton, G., Pennacchi G. (1989), Are Loan Sales Really Off-B Balance Sheet? Journal of Accounting, Auditing, and Finance, No. 4, pp. 125-145.
  • Grunert, J., Weber, M., (2005), Recovery Rates of Bank Loans: Empirical Evidence for Germany, working paper, http://ssrn.com
  • Gupton, G.M., Stein, R. (2001), A Matter of Perspective. Credit Magazine, Vol. 2, No. 9, November 2001, pp. 22-23.
  • Hamerle, A., Knapp, M., Wildenauer N. (2007), Default and Recovery Correlations. A Dynamic Econometric Approach, Risk, January, pp. 100-105.
  • Hunter, R., Linnell, I. (2006), Country-Specific Treatment of Recovery Ratings, Fitch Ratings, http://www.fitchratings.com
  • Jokivuolle, E., Peura, S. (2005), LGD in a Structural Model of Default, in: Altman, E.I., Resti, A., Sironi, A. (ed.), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London.
  • Keisman, D., Van de Castle, K., Yang, R. (2000), Suddenly Structure Mattered: Insights into Recoveries of Defaulted; Debt. Standard & Poor's Ratings Direct, May, http://www.standardandpoors.com
  • La Porta, R.F., Lopez de Silanes, Schleifer, A., Vishny R.W, (1997), Legal Determinants of External Finance, working paper, http://www.nber.org
  • Laurent, M.P., Schmit, M. (2005), Estimating Distressed LGD on Defaulted Exposures: A Portfolio Model Applied to Leasing Contracts, in: Altman, E.I., Resti, A., Sironi, A. (ed.), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London.
  • Maclachlan, I. (2005), Choosing the Discount Factor for Estimating Economic LGD, in: Altman, E.I., Resti, A., Sironi, A. (ed.) (2005), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London.
  • May, W., Needham, C., Verde, M. (2006), Recovery Ratings Reveal Diverse Expectations for Loss in the Event of Default, Fitch Ratings, http://www.fitchratings.com
  • Merton, R.C. (1974), On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. Journal of Finance, Vol. 2, pp. 449-471.
  • Miu, P., Ozdemir, B. (2005), Practical and Theoretical Challenges in Validating Basel Parameters: Key Learnings form the Experience of a Canadian Bank. Journal of Credit Risk, Vol. I.
  • Nwogugu, M. (2007), Decision-Making, Risk and Corporate Governance: A Critique of Methodological Issues in Bankruptcy/Recovery Prediction Models. Applied Mathematics and Computation, No. 185, pp. 178-196.
  • Resti, A., Sironi, A. (2005), Defining LCD. The Basel II Perspective, in: Altman E.I., Resti, A., Sironi, A. (ed.), Recovery Risk: The Next Challenge in Credit Risk Management, Risk-books, London.
  • Schleifer, A., Vishny, R. (1992), Liquidation Values and Debt Capacity: A Market Equilibrium Approach. Journal of Finance, Vol. 47, pp. 1343-1366.
  • Schmit, M., Stuyck, J. (2002), Recovery Rates in the Leasing Industry, working paper, http://www.defaultrisk.com
  • Schneider, P., Soegner, L., Veza, T. (2007), Jumps and Recovery Rates Inferred from Corporate CDS Premia, working paper, http://www.defaultrisk.com
  • Schuermann, T. (2005), What Do We Know About Loss Given Default?, in: Altman, E.I., Resti, A., Sironi, A. (eds.), Recovery Risk: The Next Challenge in Credit Risk Management, Riskbooks, London.
  • Thorburn, K.S. (2000), Bankruptcy Auctions: Cost, Debt Recovery, and Firm Survival. Journal o Financial Economics, No. 58, pp. 337-368.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000164719992
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