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Instrumenty zabezpieczone obligacjami skarbowymi: próba wyceny i analizy ryzyka

Author

Listed:
  • Juliusz Jabłecki

    (Uniwersytet Warszawski, Wydział Nauk Ekonomicznych)

Abstract

Instrumenty zabezpieczone obligacjami skarbowymi (sovereign bond-backed securities, SBBS) to nowy pomysł na wzmocnienie strefy euro i zwiększenie dostępności tzw. bezpiecznych aktywów. Zgodnie z dominującą koncepcją SBBS opierałyby się na portfelu obligacji skarbowych rządów centralnych strefy euro, a ich istotą miałaby być alokacja należnych przepływów pieniężnych do transz o różnym poziomie uprzywilejowania. SBBS byłyby przez to znacznie bardziej złożone niż tradycyjne obligacje skarbowe, a ich wycena obarczona większą niepewnością. Niniejszy artykuł przedstawia nowatorski model współzależności zdarzeń kredytowych, który można zastosować do wyceny i analizy ryzyka instrumentów zabezpieczonych obligacjami skarbowymi. Model pozwala na stosunkowo łatwą kalibrację i przeprowadzenie analiz scenariuszowych, które wskazują, że transza senior SBBS chroniona przed 30% pierwszych strat gwarantowałaby stabilne i przewidywalne wypłaty nawet w warunkach napięć na rynkach i wzrostu postrzeganego ryzyka kredytowego w strefie euro. Z kolei transze podporządkowane byłyby znacznie bardziej ryzykowne.

Suggested Citation

  • Juliusz Jabłecki, 2018. "Instrumenty zabezpieczone obligacjami skarbowymi: próba wyceny i analizy ryzyka," Bank i Kredyt, Narodowy Bank Polski, vol. 49(4), pages 379-404.
    • Handle: RePEc:nbp:nbpbik:v:49:y:2018:i:4:p:379-404
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    References listed on IDEAS

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    1. Markus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016. "The Sovereign-Bank Diabolic Loop and ESBies," American Economic Review, American Economic Association, vol. 106(5), pages 508-512, May.
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    More about this item

    Keywords

    bezpieczne aktywa; korelacja zdarzeń kredytowych; CDO;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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