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Klasyfikacja i kwantyfikacja ryzyka portfelowego w zarządzaniu długiem samorządowym w Polsce

100%
Wiśniewski M.
FINANSE Czasopismo Komitetu Nauk o Finansach PAN
|
2016
|
issue 1(9)
155-179
EN
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.
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