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Title: | 市場報價敏感度與避險效果--以 Swaption 為例 Using Market Greeks to Hedge Non-Standardized Swaption by Standardized Swaption |
Authors: | Yu-Wen Wang 王于文 |
Advisor: | 李賢源 |
Keyword: | Calibration,Greeks,Hedge,Market Greeks,Swaption, |
Publication Year : | 2016 |
Degree: | 碩士 |
Abstract: | 在評價非標準化衍生性商品時,常見的敏感度分析一向是「假設其他參數 不變下,特定模型參數變動對評價結果產生的影響」。在有完全避險需求但無法 直接靜態複製出衍生性商品的報酬僅能以類似的衍生性商品作避險的情況下, 通常是透過價格對特定模型參數的敏感度為基準來建構避險組合,如同假設了 唯有選定的避險參數才是唯一風險來源。定價參數是由相關商品市場報價透過 校準而得,且實務上重新校準頻率高,假設僅單一參數變動既不合乎直覺也不 夠彈性調整,故結合參數校正與商品訂價過程為一體,研究「相關商品市場報 價集合直接映射至特定非標準化商品價格的函數」顯得為更加合乎想法的分析 工具。
本文將此理論觀點轉換成實際模型,並且研究對特定的利率交換選擇權建 構完全避險組合時,由原定的敏感度分析改為透過此分析工具是否能有效改善 避險效果。實際代入市場報價資訊運算,並追蹤觀察不同分析基礎下建構之避 險組合未來的價值波動。結果發現即使在相同模型假設、以相同計算方式校準 參數與評價商品的情況下,若將分析重點由過去的價格對模型參數敏感度 (Model Greeks)改為價格對市場相關商品報價敏感度(Market Greeks),即能明顯 有效提高建構出的避險組合之避險效果,直接研究相關商品與欲避險商品間的 交互作用,將有效降低避險組合的損益波動。且在整體誤差函數估計方式中, 絕對誤差計算方式又優於相對誤差計算方式,無論是商品評價的精確度還是避 險效組合整體的損益波動,前者皆優於後者。本文除了研究 Market Greeks 實用 性外,同時也提供一個在眾多相關商品中選取有效避險工具的方式。 In the past, we use model Greeks, the derivatives of the price with respect to the model parameter, to construct perfectly hedged portfolio. Since the frequency of recalibration is very high, the true risk factor should be market quotes rather than model parameter. Thus, the sensitivities of prices directly with respect to the market quotes, called Market Greeks, seems more important and reasonable. In this paper, we constructed different portfolios consisting of standardized swaption to perfectly hedge a non-standardized swaption. We used the market quotes of the 7 standardized swaptions to calibrate model parameters and evaluate the 4.5Yx5Y Swaption, then computed the model Greeks and market Greeks and also constructed hedged portfolio based on each Greeks. By inspecting the payoff pattern of the hedging portfolio in the following two months, we found that, even in the same evaluating process and with the same model assumptions, market Greeks based is much better than model Greeks based. Findings regarding to the interaction between target swaption and other related swaption are really useful, since they can remarkably reduce the volatility of hedging portfolio. In addition, minimizing total absolute error to calibrate model parameter is better than minimizing total relative error regarding to the difference of calculated swaption price and the volatility of the hedging portfolio. To sum up, we not only practically applied the market Greeks to hedge a non-standardized swaption, but also found out how to choose effective hedging tool from many relative standardized swaption. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/49278 |
DOI: | 10.6342/NTU201602160 |
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-105-1.pdf Restricted Access | 2.4 MB | Adobe PDF |
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