Bootstrapping the OIS curve in a South African bank
The financial crisis in 2007 highlighted the credit and liquidity risk present in interbank (LIBOR) rates, and resulted in changes to the pricing and valuation of financial instruments. The shift to Overnight Indexed Swap (OIS) discounting and multi-curve framework led to changes in the construction...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2018
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| Online Access: | http://hdl.handle.net/11427/27104 |