Zobrazeno 1 - 10
of 117
pro vyhledávání: '"利率交換"'
Autor:
Huang, Shih-Chun, 黃詩淳
107
Before the financial crisis in 2008, people have used to take LIBOR and LIBOR swap rates as proxies for risk-free rate when pricing derivatives. However, after the financial crisis burst out, many banks now consider the overnight indexed swa
Before the financial crisis in 2008, people have used to take LIBOR and LIBOR swap rates as proxies for risk-free rate when pricing derivatives. However, after the financial crisis burst out, many banks now consider the overnight indexed swa
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/s69gqa
Autor:
Cheng, Wen-Chieh, 鄭文杰
107
This paper discusses two problems based on Hull-White term structure model as follow: (i) How to conduct a valuation of callable accreting interest rate swap(CAIRS) ? (ii) CAIRS is a type of widely used risk management instruments for zero c
This paper discusses two problems based on Hull-White term structure model as follow: (i) How to conduct a valuation of callable accreting interest rate swap(CAIRS) ? (ii) CAIRS is a type of widely used risk management instruments for zero c
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/a42rtn
106
In recent years, global stock markets have risen sharply, and share prices have reached many highs. Until recently, due to the tight Sino-U.S. trade relations, the Fed’s rate hike, and the weak US dollar, global financial markets have been
In recent years, global stock markets have risen sharply, and share prices have reached many highs. Until recently, due to the tight Sino-U.S. trade relations, the Fed’s rate hike, and the weak US dollar, global financial markets have been
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/9wv5wy
Autor:
LEE,YU,TONG, 李昱同
103
Interest rate swaptions are important and efficient tools for hedging interest rate risks in the financial market. Black (1976) model is traditionally applied by the practitioner for the valuations of interest rate derivatives. Yet, the cons
Interest rate swaptions are important and efficient tools for hedging interest rate risks in the financial market. Black (1976) model is traditionally applied by the practitioner for the valuations of interest rate derivatives. Yet, the cons
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/93741837957251089010
Autor:
Yu-Wei Zhang, 張育維
101
Under the trend of liberalization, securitization and globalization, interest rate risk rises gradually and its management becomes even more important for companies. In order to respond to this rising needs, the financial market continuously
Under the trend of liberalization, securitization and globalization, interest rate risk rises gradually and its management becomes even more important for companies. In order to respond to this rising needs, the financial market continuously
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/60096629768865048969
Autor:
CHENG, YA FANG, 鄭雅方
102
The Basel III Accord will counterparty credit risk (CCR) to adjust the value called credit valuation adjustment (CVA). Recent literatures suggest that investor and counterparty may default, and therefore the bilateral counterparty credit ris
The Basel III Accord will counterparty credit risk (CCR) to adjust the value called credit valuation adjustment (CVA). Recent literatures suggest that investor and counterparty may default, and therefore the bilateral counterparty credit ris
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/xdgb22
Autor:
Ting-Yu Chen, 陳亭宇
102
This paper explores the determinants of US interest rate swap spreads. Considering time series with nonstationarity possibility and using ARDL approach to examine cointegration. According to the results, which is a cointegration relation bet
This paper explores the determinants of US interest rate swap spreads. Considering time series with nonstationarity possibility and using ARDL approach to examine cointegration. According to the results, which is a cointegration relation bet
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/09057605838378143599
Autor:
Cheng-Han Wang, 王政翰
101
Counterparty credit risk (CCR) is a contract within the validity period counterparties fail to fulfill a contractual obligation may result in the risk of loss. Basel Committee on Banking Supervision in 2011 report that the 2008 financial tsu
Counterparty credit risk (CCR) is a contract within the validity period counterparties fail to fulfill a contractual obligation may result in the risk of loss. Basel Committee on Banking Supervision in 2011 report that the 2008 financial tsu
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/75943940473995865604