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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62282
Title: | Libor退場之市場應對與影響 Market Response and Impact of Libor Fallback |
Authors: | Yu-Min Sha 沙育民 |
Advisor: | 李賢源(Shy-An lee) |
Keyword: | Libor,Risk-Free Rate,EFFR,SOFR,Yield Curves, |
Publication Year : | 2020 |
Degree: | 碩士 |
Abstract: | Libor可以說是世界上最重要的利率,僅探討美國市場就有超過200 Trillion美元的衍生品商品。然而LIBOR卻預計在2021年停止發佈新的利率,取而代之的是美國擔保利率SOFR。
本文詳細探討Libor到SOFR的改革,並評估改革後美國的新的殖利率曲線該如何建構,並以美國公債的評價探討不同利率之間的關係。我們詳細探討Libor的市場與現在SOFR的市場之間的關係以及SOFR引進之後會面臨的困難,並探討目前SOFR殖利率曲線應該如何建構以及SOFR市場的發展。 希望此篇文章可以增進大家對SOFR的了解以及對美國利率市場有更多的認知。 LIBOR is arguably one of the most important interest rates in the world. There are more than 200 trillion dollars of derivatives in the US market alone. However, LIBOR is expected to stop publishing new interest rates starting 2021 and be replaced by the US security rate SOFR. In this study, we focus on the reform of SOFR and evaluate how new US yield curve should be constructed. The relationship between different interest rates will also be explored by examining the evaluation of US Treasury. In addition, we discuss in detail the relationship between LIBOR market and SOFR market as well as the impediment that SOFR might encounter. Furthermore, we introduce the method of SOFR yield curve construction and its market development. Finally, we hope this article would deepen your understanding of SOFR and US interest rate market. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62282 |
DOI: | 10.6342/NTU202000945 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 財務金融學系 |
Files in This Item:
File | Size | Format | |
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ntu-109-1.pdf Restricted Access | 5.55 MB | Adobe PDF |
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