Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/135177
Title: PRICING OF SHIBOR-BASED FLOATING-RATE BONDS IN CHINA
Authors: CHEN YANGYIFAN
Keywords: Shibor,Floating rate,Multiple curve setting,Short-rate models,Liquidity risk
Issue Date: 22-Dec-2016
Source: CHEN YANGYIFAN (2016-12-22). PRICING OF SHIBOR-BASED FLOATING-RATE BONDS IN CHINA. ScholarBank@NUS Repository.
Abstract: Shibor(Shanghai Interbank Offered Rate) is playing a more and more important role in Chinese bond market, as one of the most widely used benchmark rate. In this thesis, we use a short-rate model for the instantaneous risk-free spot rate, as well as the short-term spread between Shibor and risk-free rate. By carefully introducing a deterministic shift, our model can fit to the initial term structure. Since we only use Markovian process in our model, closed-form expressions for discounted value of Shibor-based coupon payments are available, which allows us to implement the model easily in practice. Closed-form expressions for the value of Shibor3M-based floating rate bond in China are also derived, and compared to the real market price. We find that the model presented in this thesis can reproduce the price of Shibor3M-based floating-rate bonds properly, especially after taking the liquidity risk into account.
URI: http://scholarbank.nus.edu.sg/handle/10635/135177
Appears in Collections:Master's Theses (Open)

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