Klasyfikacja i kwantyfikacja ryzyka portfelowego w zarządzaniu długiem samorządowym w Polsce
Journal Title: "Finanse" Czasopismo Komitetu Nauk o Finansach PAN - Year 2016, Vol 9, Issue 1
Abstract
Local government debt is an important part of the public debt in Poland and a relevant element of local government units’ financial management. Borrowing causes exposure of local government on the various types of risk. This article elaborates on the risks associated with the debt portfolio creation. Especially, refinancing risk, interest rate risk and currency risk were characterized. Then, the author made an attempt to quantify these risks using tools such as the average time to maturity of debt, the duration, and the rate of the currency structure. The results allowed to point out the scale of investigated risks for local government debt, also compared to characteristics of Treasury debt. The research showed that the tools used to measure portfolio risk of private debt, can be successfully used to measure the risk of local government debt.
Authors and Affiliations
Marcin Wiśniewski
Keywords
Related Articles
- EP ID EP174205
- DOI -
- Views 33
- Downloads 0
Dywidenda jako źródło dochodów budżetu państwa w Polsce
Significant decrease of expected budget tax revenues in 2008 and 2009, due to economic slowdown in Poland, implied uncontrolled public budget deficit increase threat. Ministry of Finance had to face dilemma how to avoid...
Konkurs Nagrodę Prezesa Polskiej Akademii Nauk za wybitne osiągnięcia naukowe w zakresie finansów
Od 2008 r. Komitet Nauk o Finansach PAN organizuje konkursy wyróżniające prace stanowiące wybitne osiągnięcia naukowe w zakresie finansów. Do ubiegłego roku laureatom przyznawana była nagroda Komitetu Nauk o Finansach. N...
Forecasting currency risk of enterprise’s asset portfolio using the Monte Carlo simulation
The aim of the paper is to point out that the Monte Carlo simulation is an easy and flexible approach when it comes to forecasting risk of an asset portfolio. The case study presented in the paper illustrates the problem...
Trafność prognoz wyniku finansowego i ich wpływ na zmiany wartości rynkowej nowych spółek giełdowych
This study investigates the accuracy of earnings forecasts disclosed in IPO prospectuses and their relationship between changes in the market value of new stock companies. Using the sample of 97 Polish companies that per...
Ryzyko cybernetyczne jako wyzwanie dla branży ubezpieczeń w Polsce i na świecie
The problem of cyberattacks may seem distant in Poland. Although most entrepreneurs operating in Poland are aware of the existence of such threats, few of them undertake actions aimed at managing cyber risk, also through...