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interest rates after the credit crunch

interest rates after the credit crunch

ID：39970826

大小：1.95 MB

页数：92页

时间：2019-07-16

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1、INTERESTRATESINTERESTRATESAFTERTHECREDITCRUNCHAFTERTHECREDITCRUNCHMarketsandModelsEvolutionIXRiskLabMeetingonFinancialRisksMadrid,12May2011MarcoBianchettiIntesaSanpaolo,MarketRiskManagement,DerivativesPricingmarco.bianchettiintesasanpaolo.comDisclaimerandacknowledgmentsDisclaimer:theviewsandtheo

2、pinionsexpressedherearethoseoftheauthoranddonotrepresenttheopinionsofhisemployer.Theyarenotresponsibleforanyusethatmaybemadeofthesecontents.Acknowledgments:thisworkhasbenefittedofthecontributionofmanypresentandformercolleagues,inparticularM.Carlicchi,M.DePrato,M.Henrard,M.Joshi,C.Maffi,G.V.Mauri

3、,F.Mercurio,N.Moreni,A.PallaviciniandM.Pucci,M.Trapletti.AparticularmentiongoestoM.MorinifortheconstantstimulatingdiscussionsandtoF.M.AmetranoandtotheQuantLibcommunityfortheopen-sourcedevelopmentsused.MarcoBianchetti–“InterestRatesAfterTheCreditCrunch”–IXRiskLabMeetingonFinancialRisks,Madrid12Ma

4、y2011p.2Summary1.Introductionandmotivations2.ThemarketacrossthecreditcrunchoSymmetrybreakingandmarketsegmentationoCounterpartyriskandcollateraloInterbankmarkettransitiontowardsOISdiscounting3.ClassicalvsModernMarketPractice&ModelingoModernpricingofinterestratederivativesoSABRmodelrevisitedoMulti

5、plecurvemodels:additivevsmultiplicativebasisoRevealingCSAdiscountinginplainvanillaquotesoTestingSABRcalibrationvsCSAdiscounting4.SwitchingtoCSAdiscountinginpracticeoMarketissuesoMethodologicalissuesoLiquidityandcollateralmanagementissuesoALMissuesoITissuesoAccountingissuesoRiskManagementissuesoM

6、anagementissues5.Conclusions6.ReferencesMarcoBianchetti–“InterestRatesAfterTheCreditCrunch”–IXRiskLabMeetingonFinancialRisks,Madrid12May2011p.31:IntroductionandMotivationsTheswitchtowardsCSAdiscountingisnotaminortechnicalissueforquantandITaddicted.Itis,instead,amajorchangeinthemarkettriggeredbyt

7、hefinancialcrisisstartedinAugust2007withdeepandpervasiveconsequencesat360degrees.oTheinterbankmarketnowquotesmuchhigheranddifferentiatedcreditandliquiditypremia.Evenplainvanillaquoteshavedrasticallychanged.Thenewbusinessofli

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