Valuation of Differential Swaps under Interest Rate Jump Process and Credit Risk
碩士 === 國立清華大學 === 科技管理研究所 === 94 === Recently differential swaps have become a popular financial instrument because it could mitigate the exchange rate risk. Although the market of differential swaps develops quickly, there has been little literature on the valuation of differential swaps. According...
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ndltd-TW-094NTHU52300242016-06-01T04:14:41Z http://ndltd.ncl.edu.tw/handle/34025632037462648446 Valuation of Differential Swaps under Interest Rate Jump Process and Credit Risk 利率跳躍過程和信用風險架構下之利率差額交換的評價 Mei-ling Yu 俞美玲 碩士 國立清華大學 科技管理研究所 94 Recently differential swaps have become a popular financial instrument because it could mitigate the exchange rate risk. Although the market of differential swaps develops quickly, there has been little literature on the valuation of differential swaps. According to the observation of economic phenomenon and proof of many theses, we find that the interest rate might “jump” when certain events suddenly happen. As a result, we use affine jump diffusion model to capture the effect of shocks caused by the events. Because differential swaps are private contracts between two parties, the counterparty whose contract value is negative may default when the interest rate jumps. Thus, differential swaps may be very sensitive to the default risk. In the past, the default risk has not been heavily considered in other studies; therefore we added the element related to credit risk into our model. Using this model, we can derive the pricing formula of differential swaps and simulate the result. Most importantly, we find a more effective way to value differential swaps to assist the academic community to understand more about this financial instrument. Leh-chyan So 索樂晴 2006 學位論文 ; thesis 34 zh-TW |
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碩士 === 國立清華大學 === 科技管理研究所 === 94 === Recently differential swaps have become a popular financial instrument because it could mitigate the exchange rate risk. Although the market of differential swaps develops quickly, there has been little literature on the valuation of differential swaps. According to the observation of economic phenomenon and proof of many theses, we find that the interest rate might “jump” when certain events suddenly happen. As a result, we use affine jump diffusion model to capture the effect of shocks caused by the events. Because differential swaps are private contracts between two parties, the counterparty whose contract value is negative may default when the interest rate jumps. Thus, differential swaps may be very sensitive to the default risk. In the past, the default risk has not been heavily considered in other studies; therefore we added the element related to credit risk into our model. Using this model, we can derive the pricing formula of differential swaps and simulate the result. Most importantly, we find a more effective way to value differential swaps to assist the academic community to understand more about this financial instrument.
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author2 |
Leh-chyan So |
author_facet |
Leh-chyan So Mei-ling Yu 俞美玲 |
author |
Mei-ling Yu 俞美玲 |
spellingShingle |
Mei-ling Yu 俞美玲 Valuation of Differential Swaps under Interest Rate Jump Process and Credit Risk |
author_sort |
Mei-ling Yu |
title |
Valuation of Differential Swaps under Interest Rate Jump Process and Credit Risk |
title_short |
Valuation of Differential Swaps under Interest Rate Jump Process and Credit Risk |
title_full |
Valuation of Differential Swaps under Interest Rate Jump Process and Credit Risk |
title_fullStr |
Valuation of Differential Swaps under Interest Rate Jump Process and Credit Risk |
title_full_unstemmed |
Valuation of Differential Swaps under Interest Rate Jump Process and Credit Risk |
title_sort |
valuation of differential swaps under interest rate jump process and credit risk |
publishDate |
2006 |
url |
http://ndltd.ncl.edu.tw/handle/34025632037462648446 |
work_keys_str_mv |
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