A Defaultable HJM Modelling of the Libor Rate for Pricing Basis Swaps after the Credit Crunch
A Defaultable HJM Modelling of the Libor Rate for Pricing Basis Swaps after the Credit Crunch
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信贷紧缩后定价基差掉期 Libor 利率的可违约 HJM 模型
DOI：
10.1016/j.ejor.2015.08.031
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Viviana Fanelli
中科院分区：
文献类型：
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作者：
Viviana Fanelli
最近的大量文献讨论了2007年8月信贷紧缩后利率市场出现的主要异常现象。在此之前一直保持不变的数量之间的价差的发展产生了重大后果。特别地，我们考虑了Libor利率和OIS利率之间的价差，以及随之而来的经验证据，即由于不同期限的浮动腿之间存在基差，FRA利率不能再使用Libor即期利率复制。我们开发了一个信用风险模型定价基差掉期在多曲线设置。伦敦银行同业拆借利率在这里被认为是一种风险利率，取决于一般交易对手的信用风险，其信用质量在每个固定日期都会得到更新。采用一种可违约的HJM方法，对信贷息差的期限结构进行建模，该期限结构是通过与选定期限对应的Libor贡献银行的隐含违约强度来定义的。假设一个依赖于整个信用价差期限结构的远期信用价差波动函数。在此背景下，我们使用基于欧拉-丸山随机积分近似和蒙特卡罗方法的数值格式实现了该模型并获得了基掉期的价格。
A great deal of recent literature discusses the major anomalies that have appeared in the interest rate market following the credit crunch in August 2007. There were major consequences with regard to the development of spreads between quantities that had remained the same until then. In particular, we consider the spread that opened up between the Libor rate and the OIS rate, and the consequent empirical evidence that FRA rates can no longer be replicated using Libor spot rates due to the presence of a Basis spread between floating legs of different tenors. We develop a credit risk model for pricing Basis Swaps in a multi-curve setup. The Libor rate is considered here as a risky rate, subject to the credit risk of a generic counterparty whose credit quality is refreshed at each fixing date. A defaultable HJM methodology is used to model the term structure of the credit spread, defined through the implied default intensity of the contributing banks of the Libor corresponding to a chosen tenor. A forward credit spread volatility function depending on the entire credit spread term structure is assumed. In this context, we implement the model and obtain the price of Basis Swaps using a numerical scheme based on the Euler–Maruyama stochastic integral approximation and the Monte Carlo method.
DOI：
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发表时间：
2005
期刊：
Sugaku Expositions, Amer. Math. Soc. Vol.18
影响因子：
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作者：
S. Kanagawa;S. Ogawa
通讯作者：
S. Ogawa