Discussion on Overnight Rate and Overnight Index Swap

• Main Authors: Nai-wen Liu, 劉乃文
• Other Authors: Yi-Ping Chang
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/67563077209139725835

碩士 === 東吳大學 === 財務工程與精算數學系 === 101 === Overnight rate is the lending of funds between bank interest rates a day, the overnight index swap (OIS) is the subject of links coming period overnight rate swaps. In the 2008 financial crisis (financial tsunami), many of the studies offered to the London Interbank Offered Rate (Libor) and the OIS rate spreads as observed reference indicator of liquidity risk, OIS makes growing interest in the market. Since July 2012 outbreak of Barclays Bank in combination with other banks in the 2007 subprime mortgage crisis when manipulating the Libor scandal, make as many financial instruments denominated in the base rate of Libor has been questioned. Federal Reserve System Chairman Ben Bernanke after the occurrence of the Libor scandal, has said publicly that could be considered as the benchmark interest rate Libor OIS alternative, these events show OIS increasingly important. Because the OIS market quotes information includes expected future overnight interest rate trends, so this desire on the market observed by three-month period OIS (called market OIS) rate and the overnight rate computed by three during the month of the actual OIS (called Real OIS) rate difference (called D­OIS rate) for analysis. The results show that in 2012 D­OIS rate is non-stationary time series, but the change in interest rates compared D­OIS stationary time series. In addition, the paper also found D­OIS rate the amount of change has volatility asymmetric, but there are leptokurtosis and heavy-tailed phenomenon. Keyword: overnight rate、Overnight Indexed Swap、London Interbank Offered Rate