- Author
- Wójtowicz Zbigniew
- Title
- Miary ryzyka stopy procentowej papierów dłużnych
Measurement of Interest Rate Risk of the Debt Securities - Source
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu. Finanse i Bankowość (10), 2003, nr 970, s. 40-51, bibliogr. 10 poz.
- Keyword
- Ryzyko stopy procentowej, Papiery dłużne, Ryzyko inwestycyjne, Papiery komercyjne, Badanie efektywności inwestycji
Interest rate risk, Debt securities, Investment risk, Commercial papers, Research efficiency of investment - Note
- summ.
- Abstract
- Inwestycje w papiery dłużne uznaje się za obarczone niższym ryzykiem od inwestycji o charakterze udziałowym, takich jak akcje lub udziały. Mimo powyższego, identyfikacja i pomiar tego ryzyka ma fundamentalne znaczenie dla inwestowania w instrumenty dłużne. Celem opracowania było omówienie metod pomiaru jednego z najważniejszych czynników ryzyka inwestycji w papiery wierzycielskie - ryzyka stopy procentowej.
The investments in the debt securities may be characterized on the basis of the criteria of an income, risk and fluidity. Together with the growth in the instability of the financial markets, including the bond markets that have been consideraded as relatively safe, the ever larger meaning assume the methods of measurement and management of risks. n the investments in the debt securities there are several types of risk factors that have to be taken into account by the investors. The most important are the credit risk factors that have to be taken into accpunt by the investors. The most important are the credit risk and interest rate risk. To measure the interest rate of the debt securities used are the following methods: price value of the basis point, price change ratio, duration, modified duration, and convexity. On the Polish market, that is dominated by the treasuries it is precisely the interest rate risk that for the investors plays the most important role. Moreover, the policies of the Ministry of Finance assuming a decrease in the emission of the treasury bills and floating rate notes in favour of the financial instruments with a fixed interest rate and longer period of maturity causes that the significance of that risk will be growing. (original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Cited by
- ISSN
- 0324-8445
1426-1278 - Language
- pol
