Modeliranje obrestnega razpona : delo diplomskega seminarja

Stare, Ajda (author), Košir, Tomaž (mentor)

V nalogi je obravnavano modeliranje Libor-OIS obrestnega razpona. Za razumevanje le-tega, je pomembno razumevanje medbančnega trga in razumevanje referenčnih obrestnih mer. S tem namenom je predstavljena definicija glavnih referenčnih obrestnih mer, kot so Libor, Euribor, EONIA, FFR in OIS obrestna mera. Podrobno si pogledamo gibanje Libor-OIS obrestnega razpona, ki se je zelo očitno razlikoval v obdobju pred krizo in po krizi z začetkom v letih 2007- 2008. Predstavljeni so glavni dejavniki za takšno gibanje, kot sta likvidnostno in kreditno tveganje ter vloga monetarne politike. Posledica takega gibanja razpona je, da je bila potrebna sprememba pri finančnih modelih za vrednotenje izvedenih finančnih instrumentov. Predstavljeno je bistveno spoznanje, ki loči predkrizne in pokrizne modele na splošno. Podrobno pa je predstavljen Libor-OIS model za razpon, skupaj s poudarki na razlikah med predkriznim in pokriznim modelom.

• Language: Slovenian
• Keywords: Libor, OIS, Libor-OIS razpon, predkrizni model, pokrizni model, modeliranje z več krivuljami.
• Work type: Final seminar paper
• Organization: FMF - Faculty of Mathematics and Physics
• Year: 2019
• PID: 20.500.12556/RUL-109340
• UDC: 519.8
• COBISS.SI-ID: 18711129
• Publication date in RUL: 30.08.2019

Secondary language

• Language: English
• Title: Modelling interest rate spread

Abstract

In this paper we present Libor-OIS interest rate spread model. For the purpose of understanding the model, we give main definitions of major reference rates such as Libor, Euribor, EONIA, FFR and OIS. They help us to understand the reference rates and the interbank market. We take a closer look at the movement of the Libor-OIS interest rate spread, which has very clearly differed in the pre-crisis and post-crisis years beginning in 2007-2008. We present the main factors for the movement of the spread such as credit and liquidity risks. The consequence of such a movement is that new financial models were required in order to evaluate derivatives. We present the key difference that distinguishes pre-crisis and post-crisis models in general. Furthermore, the model of Libor-OIS spread is presented in detail, along with the emphasis on the differences between the pre-crisis and post-crisis models.

• Keywords: Libor, OIS, Libor-OIS spread, pre-crisis model, post-crisis model, multi-curve modelling.