| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.advisor | Liao, Szu-Lang | en_US |
| dc.contributor.author (Authors) | 黃詩淳 | zh_TW |
| dc.contributor.author (Authors) | Huang, Shih-Chun | en_US |
| dc.creator (作者) | 黃詩淳 | zh_TW |
| dc.creator (作者) | Huang, Shih-Chun | en_US |
| dc.date (日期) | 2019 | en_US |
| dc.date.accessioned | 7-Aug-2019 16:10:49 (UTC+8) | - |
| dc.date.available | 7-Aug-2019 16:10:49 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Aug-2019 16:10:49 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0106352018 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/124730 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融學系 | zh_TW |
| dc.description (描述) | 106352018 | zh_TW |
| dc.description.abstract (摘要) | 隨著現今LIBOR不再被視為無風險利率，因而在財務工程的定價領域裡的折現率，將不再是過去所慣用的LIBOR利率，取而代之，目前在金融商品定價中， OIS折現率是公認最受歡迎作為折現之無風險利率。由於折現率的改變將會對傳統的利率模型造成影響，因此本論文著重在比較在單曲線LMM模型、多曲線LMM模型（固定利差）、以及多曲線LMM模型（非固定利差）下，評價以CMS為標的之可贖回利率交換之價格差異。同時，亦分別透過三種模型，計算以CMS為標的之可贖回利率交換之未來潛在曝險，且利用過去歷史資料進行回測，以檢視此三種模型預估未來潛在曝險之能力。 | zh_TW |
| dc.description.abstract (摘要) | Before the financial crisis in 2008, people have used to take LIBOR and LIBOR swap rates as proxies for risk-free rate when pricing derivatives. However, after the financial crisis burst out, many banks now consider the overnight indexed swap (OIS) should be the more appropriate risk-free rate when valuing derivatives. Substituting discount curve will not only have impact when pricing derivatives under specified interest rate model, it will meanwhile affect the potential future exposure result from counterparty.Hence, this paper demonstrated how should we construct LMM model under multi-curves. We then compared the pricing results of callable CMS swap under single curve LMM model, multi-curve LMM model (deterministic LIBOR-OIS spread), and multi-curve LMM model (non-deterministic LIBOR-OIS spread). Besides, according to the construction of these three models, we calculated the potential future exposure within the life cycle of callable CMS swap, then had back-testing under these three models.The result shows that no signification difference of price between single curve LMM model and multi-curve LMM model, however, the non-deterministic LIBOR-OIS spread LMM model tends to significantly reduce potential future exposure of contract. This may increase the efficiency of capital application when pricing under non-deterministic LIBOR-OIS spread LMM model. | en_US |
| dc.description.tableofcontents | 第一章 導論與研究背景 3第二章 文獻回顧 4第三章 評價曲線建構 6第一節 利率期間結構與LIBOR遠期利率 6一、 傳統單一曲線利率期間結構 6二、 單一曲線下的LIBOR遠期利率 7三、 多曲線利率期間結構 8四、 多曲線下的LIBOR遠期利率 10第二節 市場波動度 11一、 傳統單一曲線下的市場波動度曲線 11二、 多曲線下的市場波動度曲線 14第四章 評價模型 16第一節 傳統LMM模型－模型說明 16第二節 傳統LMM模型－參數校準 17一、 遠期利率順時波動度 17二、 遠期利率相關係數 19第三節 多曲線固定利差LMM模型－模型說明 22第四節 多曲線固定利差LMM模型－參數校準 23一、 遠期利率順時波動度 23二、 遠期利率相關係數 24第五節 多曲線下非固定利差LMM模型－模型說明 25第六節 多曲線下非固定利差LMM模型－參數校準 27一、 LIBOR遠期利率順時波動度 27二、 OIS 遠期利率順時波動度 28三、 LIBOR遠期利率相關係數 29四、 OIS 遠期利率相關係數 30五、 LIBOR 遠期利率與OIS遠期利率相關係數 30第五章 評價方法 34第一節 蒙地卡羅模擬 34第二節 測度選擇與轉換 35第三節 最小平方蒙地卡羅（Least Square Monte Carlo） 37第六章 未來潛在曝險 38第一節 未來潛在曝險（Potential Future Exposure, PFE） 38第二節 計算方式－Monte Carlo on Monte Carlo 38第七章 實證研究 41第一節 實證商品 41第二節 實證商品特徵 42一、 Constant Maturity Swap（CMS） 42二、 可贖回之權利（Callable） 43第三節 實證步驟 43一、 傳統LMM模型下的評價與未來潛在曝險 43二、 多曲線下固定利差LMM模型下的評價與未來潛在曝險 44三、 多曲線非固定利差LMM模型下的評價與未來潛在曝險 44第八章 實證結果 45第一節 折現率曲線與LIBOR遠期利率 45第二節 參數校準結果 46第三節 評價結果 53第四節 未來潛在曝險計算結果 55第五節 穿刺結果回測 56第九章 結論 58參考文獻 59 | zh_TW |
| dc.format.extent | 4290633 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0106352018 | en_US |
| dc.subject (關鍵詞) | OIS折現 | zh_TW |
| dc.subject (關鍵詞) | 多曲線 | zh_TW |
| dc.subject (關鍵詞) | LMM模型 | zh_TW |
| dc.subject (關鍵詞) | 未來潛在曝險 | zh_TW |
| dc.subject (關鍵詞) | OIS Discount | en_US |
| dc.subject (關鍵詞) | Multi-Curve | en_US |
| dc.subject (關鍵詞) | LMM | en_US |
| dc.subject (關鍵詞) | Potential Future Exposure | en_US |
| dc.title (題名) | 單曲線LMM模型與OIS折現下多曲線LMM模型之價格與未來潛在曝險比較—以可贖回CMS利率交換為例 | zh_TW |
| dc.title (題名) | Comparison of Price and Potential Future Exposure of Callable CMS Swap Under Single Curve LMM Model and OIS Discount Multi-Curve LMM Model | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 1. Christian Crispoldi, Gerald Wigger, Peter Larkin, (2015). SABR and SABR LIBOR market models in practice, Palgrave.2.Da miano Brigo, Fabio Mercurio, (2006). Interest rate models-theory and practice, Springer.3. Damiano Brigo, Massimo Morini, Andrea Pallavicini, (2013). Counterparty credit risk, collateral and funding with pricing cases for all asset classes, Wiley.4. Fabio Mercurio, (2010). Modern LIBOR Market Models: Using Different Curves forProjecting Rates and for Discounting, International Journal of Theoretical and Applied Finance Vol. 13, No. 1, 113-137.5. Fabio Mercurio, (2010). LIBOR Market Models with Stochastic Basis, Bloomberg Education & Quantitative Research Paper, No. 2010-05-frontiers.6. Fabio Mercurio, (2018). SOFR So Far: Modeling the LIBOR Replacement, Swissquote Conference.7. Francis A. Longstaff, Eduardo S. Schwartz, (2001). Valuing American Option by Simulation: A Simple Least-Squares Approach, The Review of Financial Studies Spring 2001 Vol. 14, No. 1, 113-147.8. Marc Henrard, (2014). Interest rate modelling in the multi-curve framework, Palgrave.9. Steven E. Shreve, (2004). Stochastic calculus for finance II continuous-time models, Springer. | zh_TW |
| dc.identifier.doi (DOI) | 10.6814/NCCU201900176 | en_US |
