Valuation and risk management of interest rate and derivative securities:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Hochschulschrift/Dissertation Buch |
| Sprache: | Nichtbestimmte Sprache |
| Veröffentlicht: |
Bern u.a.
Haupt
1992
|
| Schriftenreihe: | Bank- und finanzwirtschaftliche Forschungen
163 |
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003580717&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XVIII, 325 S. graph. Darst. |
| ISBN: | 3258046875 |
Internformat
MARC
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| 245 | 1 | 0 | |a Valuation and risk management of interest rate and derivative securities |c von Stephan Leithner |
| 264 | 1 | |a Bern u.a. |b Haupt |c 1992 | |
| 300 | |a XVIII, 325 S. |b graph. Darst. | ||
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| 490 | 1 | |a Bank- und finanzwirtschaftliche Forschungen |v 163 | |
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Datensatz im Suchindex
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| adam_text | i
Valuation and Risk Management of
Interest Rate Derivative Securities
Summary of contents
1. An integrative perspective on the risk 1
management of interest rate derivatives
Part One: Valuation
2. Basic concepts in valuing interest rate derivative 18
securities
3. Continuous time models of the term structure of 59
interest rates
4. Valuation of interest rate derivative securities in 93
the Swiss market
Part Two: Applications
5. Risk and return in the bond markets 134
6. Risk management instruments 208
7. Measuring and hedging risks in interest rate 246
derivative securities
8. Implications for risk management 299
ii Table of contents
Table of contents
List of figures vii
List of tables xi
List of abbreviations xiv
Commonly used notations xvl
1. An integrative perspective on the risk manage 1
ment of interest rate derivatives
1.1 The markets for interest rate derivatives
1.2 A framework for the management of market risk in
interest rate derivative securities
1.3 Scope and outline of the text
I Q
2. Basic concepts in valuing interest rate derivative
securities
2.1 General equilibrium models of the term structure of 2
interest rates
2.1.1 The model framework and the fundamental 21
valuation equation in discrete time
2.1.2 The term structure of interest rates 2
2.1.3 Risk premia in discrete time ^3
Table of contents iii
2.2 Arbitrage models of interest rate derivative 37
securities
2.2.1 The fundamental valuation equation under an 37
arbitrage perspective
2.2.2 Construction of an equivalent martingale 41
measure
2.2.3 Model parametrization and model appli 47
cation: Valuation of futures and options
a) The valuation of futures on discount bonds 48
b) The valuation of European call and put 50
options on discount bonds
c) Model parametrization: a second look at the 54
definition of a complete market
2.3 Summary: The relationship between general 56
equilibrium and arbitrage models
3. Continuous time models of the term structure of 59
interest rates
3.1 Extending the pricing methodology to 60
continuous time
3.1.1 The structure of continuous time models 60
3.1.2 The fundamental valuation equation in 63
continuous time
3.2 The state variables and their stochastic process 68
3.2.1 Alternative specifications of the state variables 68
3.2.2 The stochastic process governing the state 74
variable
a) Alternative stochastic process specifications 74
iv Table of contents
b) Empirical evidence on the performance of 79
alternative stochastic processes in the Swiss
market
3.3 A complete model specification and the general 84
implementation approach
3.3.1 The functional form of the interest rate risk 84
premium
3.3.2 A complete market implementation in conti 86
nuous time
3.4 Summary 91
4. Valuation of interest rate derivative securities in 93
the Swiss market
4.1 Model implementations for the Swiss market 94
4.1.1 The impact of the particularities of the Swiss 94
market on alternative model
implementations
4.1.2 An arbitrage model implementation incor 97
porating a discrete term structure
4.2 Model parametrization for the Swiss market 104
4.2.1 Alternative parametrization approaches for the 104
arbitrage model
4.2.2 Parameter estimation from historical data: 107
a representative investor perspective
a) The estimation approach 107
b) The data HI
c) The estimation results U4
4.2.3 The completely parametrized arbitrage model 121
a) Choosing from the alternative parameter 122
specifications
b) Interpretation of the time dependent 125
parameter values
c) A first model application: The continuous 127
term structure of interest rates
4.3 Conclusions and implications for subsequent 130
applications
Table of contents v
5. Risk and return in the bond markets 134
5.1 General risk and return properties of bonds 135
5.1.1 Straight bonds 136
5.1.2 Callable bonds 139
5.2 The valuation under credit risk and option adjusted 149
spreads
5.2.1 Valuation under credit risk 149
a) Modeling credit risk 150
b) The fundamental valuation equation under 154
credit risk
5.2.2 Model implementation and estimation procedures 155
for the Swiss bond markets
a) Model implementation for the Swiss market 156
b) Model parametrization for the Swiss market 158
5.2.3. Applications of the extended model: Option 163
adjusted spreads
a) Market spreads and term structure estimation 164
b) Security specific spreads as an index of value 166
c) Applications of option adjusted spreads in the 169
risk management process
5.3 An empirical investigation of non subordinated bonds 174
of Swiss AAA banks
5.3.1 Description of data and analysis of market 174
structure
5.3.2 Empirical results 184
a) Equilibrium option adjusted spreads 186
b) Deviations of model from market prices 187
c) Investigation of the model specification 197
5.4 Summary 205
6. Risk management instruments 208
6.1 Swaps 209
6.2 Futures 218
6.2.1 Theoretical valuation of medium tern SOFFEX 219
bond futures
vi Table of content!
6.2.2 Empirical analysis of the pricing of UBS bond 223
futures
6.3 Option products 228
6.3.1 Product variations 229
6.3.2 Empirical analysis of the pricing of SBC bond 233
options
6.4 Summary 244
7. Measuring and hedging risks in interest rate 246
derivative securities
7.1 Analytical tools for measuring risks in interest rate 248
derivative securities
7.1.1 Alternative interest rate risk measures 252
a) The empirical determination of standard 253
key rate scenarios
b) Modeling general interest rate scenarios 258
7.1.2 Volatility and spread risk measures 264
7.2 Hedging 269
7.2.1 Immunization 270
7.2.2 Hedging with spread risk 276
a) Efficient hedging strategies in the presence 276
of spread risk
b) Alternative time horizons and the hedging 287
potential in the presence of spread risk
7.3 Summary 296
8. Implications for risk management 299
Appendix: Information on bond data 304
Bibliography 309
List of figures vii
List of figures
Figure 1.1: Variations of fundamental interest rate 6
derivatives and their relationships.
Figure 1.2: Liquidity of different interest rate derivatives 8
available in the Swiss market
Figure 1.3: Individual elements of the risk management 12
process.
Figure 3.1: Percentage of variance of realized weekly 70
excess returns of discount bonds with diffe¬
rent maturities explained by different prin¬
cipal compenents.
Figure 4.1: Development of 3 month and 5 year spot 111
interest rates over the period 7/1987 until
7/1991.
Figure 4.2: Term structure of average spot rates and 113
term structure of volatilities of spot rates
derived from time deposit and swap rates
over the intervall 7/1987 until 7/1990.
Figure 4.3: Steady state term structures of spot rate 121
volatilities under alternative parameter
estimates from Table 4.2.
Figure 4.4: Long run mean of interest rate process. 125
Figure 4.5: Continuous term structures for selected 127
dates under the arbitrage model.
Figure 4.6.a: Continuous term structures of spot rates 128
from the valuation model, under a linear
interpolation and under a cubic spline
interpolation.
viii List offigun
Figure 4.6.b: Continuous term structures of instantaneous 12
forward rates from the valuation model,
under a linear interpolation and under a
cubic spline interpolation.
Figure 6.1: Performance profile of a 2 and a 10 year 131
straight bond with a coupon of 7%.
Figure 5.2: Effective duration of a 2 and a 10 year 131
straight bond with a coupon of 7%.
Figure 6.3: Performance profile of a 10 year callable 143
bond and related (5 and 10 year) straight
bonds.
Figure 6.4: Effective duration of callable and related 144
(5 and 10 year) straight bonds.
Figure 6.5: Performance profile of alternative call 145
schemes.
Figure 5.6: Value of embedded call option for alter 146
native periods to the first call date and
alternative call schedules.
Figure 5.7: Time decay pattern of call value embedded 147
in a 10 year, 7% coupon bond, callable only
after 5 years.
Figure 5.8: Simulation of portfolio values for OAS based 173
trading strategies.
Figure 5.9: Maturity spectrum of the sample of bonds of 175
AAA banks.
Figure 5.10: Distribution of coupon levels across issuers 177
in the sample of bonds of AAA banks.
List of figures ix
Figure 5.11: Time series of maximum likelihood OAS of 184
non subordinated bonds of Swiss AAA
banks.
Figure 5.12: Deviation of individual OAS from equili 196
brium OAS for 3% SKA 79/92 (Valorennr.
50242) for individual trades between
1.1.1988 and 1.7.1991.
Figure 5.13: Squared mispricings on a price basis and 201
time to maturity for the samples of 29.8.90
and 2.1.91.
Figure 5.14: OAS mispricing and time to maturity for 202
the samples of 15.3.88 and 29.8.90.
Figure 6.1: Theoretical prices of medium term SOFFEX bond 221
futures and differences between forward and
futures prices for the maturity September 1990.
Figure 6.2: Average theoretical deviations of forward 223
from futures prices for different contract
maturities.
Figure 6.3: Deviations of UBS market prices (9 a.m. 225
mean prices) from model prices for the
March 91 futures contract on a 5 year
straight bond.
Figure 6.4: Implied 5 year steady state volatilities from 240
SBC bond options.
Figure 7.1: Spot rate impact of first three principal 254
components of unexpected changes of the
yield curve.
Figure 7.2: Example of 50 b.p. key rate shift of 3 year 260
key rate.
x List offigat
Figure 7.3: Example of key rate deltas of a 5 year 5% 2f
receiver swap at reset under a flat term
structure of 5%.
Figure 7.4: Steady state term structure of volatilities *
under alternative k values.
Figure 7.5: Cap values under alternative term struc 28
tures of volatilities.
Figure 7.6: Variance ratios of swap based hedges for 291
AAA bank bonds over different hedging
horizons.
Figure 7.7: Cumulative distribution of variance ratios *
for ex post optimal hedges over weekly and
monthly hedge horizons for Swiss govern¬
ment bonds with the nearby swapbased
futures contract.
1
I List of tables xi
I
List of Tables
i
Table 3.1 Principal component analysis of weekly 69
excess returns.
Table 3.2 Examples of alternative state variable 72
specifications.
Table 3.3 Alternative stochastic processes in one 76
factor models.
Table 3.4 Estimates for alternative stochastic pro 82
cesses of the short term interest rate.
Table 4.1 Descriptive statistics of spot interest rates 112
with different maturities.
Table 4.2 (Part I) GMM estimates of model parame 115
ters from historical data under alternative
moment restrictions.
Table 4.2 (Part II) Explanatory notes on GMM esti 116
mates of model parameters from historical
data.
Table 4.3 Correlation matrix of moment restictions for 119
estimation based on four moment restric¬
tions.
Table 4.4 Impact of alternative parameter combina 123
tions on prices of a 5 year callable bond and
its components.
Table 5.1 (Part I) Estimation of the parameter Q from 159
Swiss government bonds.
zii List oftabU
Table 6.1 (Part II) Summary statistics on the maxi 161
mum likelihood estimation of the parameter
ii from Swiss government bonds.
Table 2 Example calculation for yield to worst. 161
Table 3 Descriptive properties of sample of bonds of 17(
Swiss AAA banks.
Table 6.4 Liquidity of non subordinated bonds of AAA 17J
banks.
Table 5.6 Impact of bond specifications on market 183
thinness.
Table 6.6 Summary statistics of market implied OAS 185
of non subordinated bonds of Swiss AAA
banks.
Table 5.7 Summary statistics on deviations of model 189
from market prices.
Table 6.8 Factors affecting bond specific mispricing. 192
Table 5.9 Detailed analysis of credit class by banks. 198
Table 6.1 Information on asset swap opportunity in an 212
Japanese ex warrant bond.
Table 6.2 Valuation results for asset swap opportunity 213
in a Japanese ex warrant bond.
Table 6.3 Deviations of UBS futures prices from 226
model prices.
Table 6.4 (Part I) Empirical analysis of the pricing of 235
SBC bond options.
List of tables xiii
Table 6.4 (Part II) Expanatory notes on the pricing of 236
SBC bond options.
Table 7.1 Standard scenario deltas for different 256
securities.
Table 7.2 Example of key rate deltas and their appli 262
cation to a swap.
Table 7.3 (Part I) Performance of hedges based on the 278
swap market for portfolios of swiss govern¬
ment bonds.
Table 7.3 (Part II) Explanatory notes on hedging 279
simulations.
Table 7.4 In sample and out of sample performance of 286
adjusted delta hedges for Swiss government
bonds.
Table 7.5 Performance of ex post optimal hedges for 290
domestic bonds over different time horizons.
Table 7.6 Performance of duration hedges for domestic 294
bonds over different time horizons.
|
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| author_sort | Leithner, Stephan |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.63/2044 |
| dewey-sort | 3332.63 42044 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| indexdate | 2024-12-20T08:37:23Z |
| institution | BVB |
| isbn | 3258046875 |
| language | Undetermined |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-003580717 |
| oclc_num | 231401023 |
| open_access_boolean | |
| owner | DE-19 DE-BY-UBM DE-703 DE-739 DE-473 DE-BY-UBG DE-355 DE-BY-UBR DE-12 DE-83 DE-188 |
| owner_facet | DE-19 DE-BY-UBM DE-703 DE-739 DE-473 DE-BY-UBG DE-355 DE-BY-UBR DE-12 DE-83 DE-188 |
| physical | XVIII, 325 S. graph. Darst. |
| publishDate | 1992 |
| publishDateSearch | 1992 |
| publishDateSort | 1992 |
| publisher | Haupt |
| record_format | marc |
| series | Bank- und finanzwirtschaftliche Forschungen |
| series2 | Bank- und finanzwirtschaftliche Forschungen |
| spellingShingle | Leithner, Stephan Valuation and risk management of interest rate and derivative securities Bank- und finanzwirtschaftliche Forschungen Zinsfuß (DE-588)4190927-6 gnd Risikomanagement (DE-588)4121590-4 gnd Wertpapier (DE-588)4065674-3 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd Zinsänderung (DE-588)4117718-6 gnd Zinstermingeschäft (DE-588)4124494-1 gnd |
| subject_GND | (DE-588)4190927-6 (DE-588)4121590-4 (DE-588)4065674-3 (DE-588)4067851-9 (DE-588)4117718-6 (DE-588)4124494-1 (DE-588)4113937-9 |
| title | Valuation and risk management of interest rate and derivative securities |
| title_auth | Valuation and risk management of interest rate and derivative securities |
| title_exact_search | Valuation and risk management of interest rate and derivative securities |
| title_full | Valuation and risk management of interest rate and derivative securities von Stephan Leithner |
| title_fullStr | Valuation and risk management of interest rate and derivative securities von Stephan Leithner |
| title_full_unstemmed | Valuation and risk management of interest rate and derivative securities von Stephan Leithner |
| title_short | Valuation and risk management of interest rate and derivative securities |
| title_sort | valuation and risk management of interest rate and derivative securities |
| topic | Zinsfuß (DE-588)4190927-6 gnd Risikomanagement (DE-588)4121590-4 gnd Wertpapier (DE-588)4065674-3 gnd Zinsänderungsrisiko (DE-588)4067851-9 gnd Zinsänderung (DE-588)4117718-6 gnd Zinstermingeschäft (DE-588)4124494-1 gnd |
| topic_facet | Zinsfuß Risikomanagement Wertpapier Zinsänderungsrisiko Zinsänderung Zinstermingeschäft Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003580717&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV023546687 |
| work_keys_str_mv | AT leithnerstephan valuationandriskmanagementofinterestrateandderivativesecurities |