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A study on interest rate basis-risk models after the 2008 liquidity crunch.

机译：2008年流动性紧缩后的利率基准风险模型研究。

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摘要

In this dissertation we take a look at the rise of interest rate basis spreads in the market following the liquidity and credit crunch of 2008. We show that post 2008 the valuation of all interest rate instruments of a single yield curve for a particular currency is no longer a feasible approach and the assumption of no arbitrage between different tenors is no longer applicable. Following that a closer look is taken into the cause of such widening basis spreads and the impact they have had on the market with a focus on reconstituting the no arbitrage argument and looking at a post crisis multiple curve framework following an axiomatic approach as introduced by Henrard [37] and further explored by Bianchetti and Morini [6, 50]. A bottom-up market approach is taken by Ametrano [2] and the two approaches are shown to be equivalent in result. An analogy is made to quanto style cross currency swap adjustments observed by the aforementioned authors as well as Michaud and Upper [47], and Tuckman and Porfirio [57].;Finally we consider the rise of using overnight index swaps in construction OIS discount curves and their application in the valuation of interest rate derivatives in the presence of collateral as well as reconciling the spread between OIS and vanilla interest rate swaps with credit risk measures.;We proceed to look at the approaches taken by authors such as Henrard [36, 37] in extending the Black and Stochastic Alpha Beta Rho models to include basis spreads and Kijima et al. [42] who extend a model introduced by Boenkost and Schmidt [11] and put forward a quadratic Gaussian model and a Vasicek model. Mercurio [46] puts forward an extension to the LIBOR Market Model (also referred to as the Brace-Gatarek-Musiela model) under both forward measures and spot measures.
机译：在本文中，我们研究了在2008年流动性和信贷紧缩之后市场利率基础点差的上升情况。我们表明，在2008年之后，对于特定货币，单一收益率曲线的所有利率工具的估值都没有。不再是一种可行的方法，并且不同期限之间没有套利的假设不再适用。然后，仔细研究这种基础价差扩大的原因及其对市场的影响，重点是重构无套利的论点，并按照Henrard提出的公理方法研究危机后的多曲线框架。 [37]以及Bianchetti和Morini [6，50]进一步探讨。 Ametrano [2]采用了自下而上的市场方法，结果表明这两种方法是等效的。类似于上述作者以及Michaud和Upper [47]以及Tuckman和Porfirio [57]观察到的量化风格交叉货币掉期调整的类比；最后，我们考虑了在建筑OIS折现曲线中使用隔夜指数掉期的上升。以及它们在存在抵押品的情况下在利率衍生工具的估值中的应用，以及通过信贷风险措施来协调OIS和原始利率掉期之间的价差。；我们继续研究Henrard等人[36， 37]扩展了Black and Stochastic Alpha Beta Rho模型以包括基础价差和Kijima等。 [42]扩展了Boenkost和Schmidt [11]引入的模型，并提出了二次高斯模型和Vasicek模型。 Mercurio [46]提出了对LIBOR市场模型（也称为Brace-Gatarek-Musiela模型）的扩展，包括前瞻性措施和现货措施。

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  • 作者

    Mentis, Petros.;

  • 作者单位

    University of Pretoria (South Africa).;

  • 授予单位 University of Pretoria (South Africa).;
  • 学科 Applied mathematics.;Finance.
  • 学位 M.B.A.
  • 年度 2014
  • 页码 133 p.
  • 总页数 133
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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