2013 | 174 | 118-128
Article title

Problem ryzyka kontrahenta na rynku pozagiełdowych instrumentów pochodnych

Title variants
Counterparty Risk Problem on the over the Counter Derivatives Market
Languages of publication
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.
Physical description
  • I. Tymuła: Swapy finansowe. Biblioteka Menadżera i Bankowca, Warszawa 2000, s. 15.
  • W. Żółtkowski: Zarządzanie ryzykiem bankowym w praktyce. CeDeWu, Warszawa 2007, s. 24-25.
  • J.D. Becker: International Insolvency: The Case of Herstatt. "American Bar Association Journal" 1976, Vol. 62.
  • J. Walmsley: The Foreign Exchange Handbook. A User's Guide. John Wiley & Sons, New York 1983, s. 62.
  • M. Singh, J. Aitken: Counterparty Risk, Impact on Collateral Flows, and Role for Central Counterparties. "International Monetary Fund Working Paper" 2009, WP/09/173.
  • J. Zając: Polski rynek walutowy w praktyce. KE Liber, Warszawa 2002, s. 277-281.
  • M. Szmelter: Swap kredytowy jako najlepiej rozwinięty pochodny instrument kredytowy. W: Problemy współczesnej gospodarki światowej. Red. H. Treder. Prace i Materiały Instytutu Handlu Zagranicznego, nr 27, Fundacja Rozwoju Uniwersytetu Gdańskiego, Sopot 2009.
  • Systemy rozrachunku papierów wartościowych w Polsce i na świecie. Red. K. Nakoneczny, B. Wróbel. Departament Edukacji i Wydawnictw, Narodowy Bank Polski, Warszawa 2009, s. 36.
  • J.C. Kress: Credit Default Swaps, Clearinghouses, and Systemic Risk: Why Centralized Counterparties Must Have Access to Central Bank Liquidity. "Harvard Journal on Legislation" 2011, Vol. 48.
Document Type
Publication order reference
YADDA identifier
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.