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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 李賢源(Shy-An lee) | |
dc.contributor.author | Yu-Min Sha | en |
dc.contributor.author | 沙育民 | zh_TW |
dc.date.accessioned | 2021-06-16T13:38:29Z | - |
dc.date.available | 2025-07-15 | |
dc.date.copyright | 2020-07-15 | |
dc.date.issued | 2020 | |
dc.date.submitted | 2020-06-15 | |
dc.identifier.citation | 1. Burgess, N. (2019). Libor Benchmark Reform: An Overview of Libor Changes and Its Impact on Yield Curves, Pricing and Risk. Pricing and Risk (September 6, 2019).
2. Chicago Mercantile Exchange(2020), Economic Events “SOFR & €STR Discounting Transition Process For Cleared Swaps”, May 28 2020. 3. Financial Stability Board(2019). Overnight Risk-Free Rates. A User’s Guide. Financial Stability Board, June 2019. 4. Financial Stability Board(2019). Reforming major interest rate benchmarks: Progress report. Financial Stability Board, December. 5. Heitfield, E., & Park, Y. H. (2019). Inferring term rates from SOFR futures prices. 6. Hou, D., & Skeie, D. R. (2014). LIBOR: origins, economics, crisis, scandal, and reform. FRB of New York Staff Report, (667). 7. International Swaps and Derivatives Association (2020). Adoption of Risk-Free Rates: Major Developments in 2020. ISDA Research Notes, February. 8. International Swaps and Derivatives Association (2019), The Brattle Group “Summary of Responses to the ISDA Consultation on Final Parameters for the Spread and Term Adjustments”, November 15, 2019. 9. J.P. Morgan (2019), Leaving Libor “A Landmark Transition. J.P. Morgan Global Markets” March 4, 2019. 10. J.P. Morgan(2019), MARKETS “Transaction Volume: Libor vs contracts referencing Libor”, January 15, 2019. 11. London Clearing House (2019), Ltd Member Updates “Proposed next steps for transition to USD SOFR discounting in SwapClear”, July 26 2019 12. The Federal Reserve Bank of New York (2020), Operating policy “Statement Regarding Publication of SOFR Averages and a SOFR Index”, March 2, 2020. 13. Vaughan, L., & Finch, G. (2017). The Fix: how bankers lied, cheated and colluded to rig the world's most important number. John Wiley & Sons. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62282 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T13:38:29Z (GMT). No. of bitstreams: 1 ntu-109-R07723031-1.pdf: 5678366 bytes, checksum: b0948568db9b90c511f918bb7e6b0265 (MD5) Previous issue date: 2020 | en |
dc.description.tableofcontents | 中文摘要 i
Abstract ii 目錄 iii 圖目錄 iv 表目錄 vi 第一章 緒論 1 第二章 文獻回顧 4 第一節 Libor退場始末 4 第二節 Libor退場進度 8 第三節 退場對市場影響 8 第三章 SOFR相關產品介紹 12 第四章 如何建構殖利率曲線 17 第一節 流動性探討 17 第二節 殖利率曲線建構 25 第五章 美國各殖利率曲線比較 29 第六章 未來探討 40 參考文獻 45 | |
dc.language.iso | zh-TW | |
dc.title | Libor退場之市場應對與影響 | zh_TW |
dc.title | Market Response and Impact of Libor Fallback | en |
dc.type | Thesis | |
dc.date.schoolyear | 108-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 謝承熹(Cheng-hsi Hsieh),鍾懿芳 | |
dc.subject.keyword | Libor,Risk-Free Rate,EFFR,SOFR,Yield Curves, | zh_TW |
dc.relation.page | 46 | |
dc.identifier.doi | 10.6342/NTU202000945 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2020-06-16 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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