A Multi Interest Rate Curve Model for Exposure Modelling

Autor:	Süss André, Markus Trahe, Boldin Andreas, Roland Lichters
Rok vydání:	2016
Předmět:	Basis (linear algebra) Computer science business.industry media_common.quotation_subject Hull–White model Measure (mathematics) Interest rate Risk neutral Basis swap Analytics Econometrics business Risk management media_common
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.2870698
Popis:	The tenor basis phenomenon became significant with the 2007 financial crisis and has altered the traditional way of one-curve pricing and risk management to a multi-curve phenomenon. The stochastic nature of basis spreads between curves particularly poses a challenge for forward looking applications like XVA or real world measure exposure analytics. This paper presents a Two- factor Gaussian approach for modelling multiple fixing curves and basis spreads in the risk neutral and spot measure, shows the impact on basis swap exposure, investigates the correlation structure and discusses the pros and cons of interpreting as a spread or multi curve model respectively.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::7a7d56b274eb54bdc5601577f5847bf0 https://doi.org/10.2139/ssrn.2870698 Zobrazit plný text záznamu