magistrsko delo
Neža Ahčin (Author), Tomaž Košir (Mentor)

Abstract

Po finančni krizi, ki se je začela leta 2007, standardni način konstrukcije krivulje donosnosti ni več ustrezen. Standardna predkrizna metoda konstrukcije krivulje donosnosti predpostavlja, da temeljna obrestna mera ne zapade kreditnemu tveganju, zato imamo zgolj eno diskontno krivuljo, ki je hkrati tudi terminska krivulja. V obdobju po krizi je potrebno upoštevati dejavnike kot so kreditno tveganje nasprotne stranke, tveganje likvidnosti in financiranja ter zavarovanje s premoženjem, zato v sodobnem kontekstu obravnavamo istočasen obstoj večih krivulj. Pristop večih krivulj temelji na začetni konstrukciji OIS diskontne krivulje, saj je le-ta nujno potrebna za nadaljnjo konstrukcijo terminskih krivulj poljubne ročnosti. Ena od posledic uporabe pristopa večih krivulj je, da so formule za konstrukcijo krivulj donosnosti v procesu zankanja nekoliko bolj zapletene kot prej. Za konstruirane krivulje zahtevamo, da so gladke brez navideznih nezveznosti. Ta zahteva omejuje izbiro interpolacijskih metod, ki se lahko uporabljajo v postopku zankanja.

Keywords

finančna kriza;kreditna kriza;tveganje nasprotne stranke;razpon;obrestne mere;obrestni izvedeni finančni instrumenti;krivulja donosnosti;prisotnost večih krivulj;zankanje;interpolacija;

Data

Language: Slovenian
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [N. Ahčin]
UDC: 519.22
COBISS: 18718041 Link will open in a new window
Views: 1521
Downloads: 451
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Other data

Secondary language: English
Secondary title: Construction of the yield curve
Secondary abstract: After the financial crisis that began in 2007 the traditional single-curve approach in the process of constructing yield curves is no longer adequate. The old method assumes that there is no credit risk in the underlying rate which is why one could take the discounting curve and the forwarding curve to be one and the same. In a modern context when constructing the yield curves we have to take into account issues as counterparty risk, liquidity and funding risk, and collateralization. Nowadays one has to deal with multiple forwarding curves simultaneously. In multiple-curve approach we first construct the OIS discount curve and then continue with the construction of FRA yield curve of any given tenor. One of the consequences of the multiple-curve approach is that the bootstrapping formulas are more complicated than before. The resulting forward curve has to be smooth without spurious discontinuities. This requirement puts constraints on the interpolation methods that can be used in the bootstrapping procedure.
Secondary keywords: financial crisis;credit crisis;counterparty risk;spread;interest rates;interest rate derivatives;yield curve;multiple-curve;bootstrapping;interpolation;
Type (COBISS): Master's thesis/paper
Study programme: 0
Embargo end date (OpenAIRE): 1970-01-01
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 2. stopnja
Pages: IX, 56 str.
ID: 11221926