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| Title: | LFM模型下可贖回CMS價差區間計息型商品之評價與風險管理
Valuation and Risk Management of Callable Range Accrual Linked to CMS Spread under Lognormal Forward LIBOR Model |
| Authors: | 賴映筑
Lai, Ying-Zhu |
| Contributors: | 林士貴
岳夢蘭
Lin, Shih-Kuei
Yueh, Meng-Lan
賴映筑
Lai, Ying-Zhu |
| Keywords: | 固定期限利率交換
區間計息
對數常態遠期LIBOR模型
最小平方蒙地卡羅模擬法
風險價值
期望損失
Constant Maturity Swap
Range Accrual
Lognormal Forward LIBOR Model
Least Square Monte Carlo simulation
Value at Risk
Expected Shortfall |
| Date: | 2020 |
| Issue Date: | 2020-07-01 13:41:40 (UTC+8) |
| Abstract: | 近來全球金融市場波動頻繁，加上投資人的風險管理意識增強，在資產組合的配置上，衍生性金融商品扮演著不可或缺的角色。本論文評價目前市面上常見的利率衍生性商品，此商品為以固定期限利率交換(Constant Maturity Swap, CMS)的利差做為連結標的，且附帶「提前贖回條款」的區間計息型利率交換。本文採用對數常態遠期LIBOR模型(Lognormal Forward LIBOR Model, LFM)及最小平方蒙地卡羅模擬法(Least Squares Monte Carlo Method)評價此商品的理論價值。此外，巴塞爾銀行監管委員會已針對全球銀行業監管的框架進行修正，變更之後的方案被稱之為「巴塞爾資本協定四」(Basel IV)。該方案改變了過去衡量極端損失的風險度量指標，從過去風險價值(Value at Risk，簡稱VaR)的計算，過渡為期望損失(Expected Shortfall，簡稱ES)的計量方法。因此，本文透過敏感度分析(Sensitivity Analysis) 和風險值及期望損失的計算，探討該商品之風險管理。
In recent years, global financial markets have been fluctuating frequently. With the increasing of investors` awareness in risk management, derivative commodities play indispensable roles in the allocation of asset portfolios. This paper evaluates a common interest rate derivative product currently traded on the market, which is range accrual Constant Maturity Swap (CMS) with “the Call Provision”. Lognormal Forward LIBOR Model and the least square Monte Carlo simulation method are used as evaluation methods to evaluate the theoretical value of this product.
In addition, the Basel Committee on Banking Supervision (BCBS) revised the framework for global banking supervision, which is called “Basel IV”. It has changed the risk measurement indicators that measure extreme losses, from the calculation of Value at Risk (VaR) in the past to the measurement method of Expected Shortfall (ES). Therefore, we discuss the risk management of this product by using sensitivity analysis, and the calculation of VaR and ES. |
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| Description: | 碩士
國立政治大學
金融學系
107352031 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107352031 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000614 |
| Appears in Collections: | [金融學系] 學位論文
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