CINECA IRIS Institutional Research Information System
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
EnglishWe test seven term structure models in the Heath, Jarrow, and Morton (1992) class in order to find the best representation of the Libor rate in interest rate markets after the credit crunch of 2007. The Libor rate is considered as a risky rate, subject to the credit risk of a generic counterparty whose credit quality is refreshed at each fixing date. We study the volatilities of the credit spreads implicitly obtained from Libor time series. In order to understand how assumed volatility functions affect interest rate curve modelling and asset pricing, we develop a model to estimate basis swap prices through the Monte Carlo simulations. We compare obtained results and individuate systematic relations existing between the basis spread forecast error and both the accuracy in volatility modelling and the accuracy of the Monte Carlo estimates. We analyse and document these relations by defining appropriate pricing error measures.
| Titolo: | Implications of implicit credit spread volatilities on interest rate modelling |
| Autori: | FANELLI, VIVIANA (Corresponding) |
| Data di pubblicazione: | 2017 |
| Rivista: | |
| Handle: | http://hdl.handle.net/11586/193245 |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
File in questo prodotto:
| File | Descrizione | Tipologia | Licenza | |
|---|---|---|---|---|
| Pubblicazione_3.pdf | Documento in Versione Editoriale | NON PUBBLICO - Accesso privato/ristretto | Administrator Richiedi una copia |
http://hdl.handle.net/11586/193245
Copyright © 2021