GSMM模型下可贖回固定期限交換價差區間計息型商品評價與敏感度分析

因應現今金融市場環境，以及高資產客戶或機構法人在避險和風險管理上的需求，相關利率類衍生性金融商品的交易量也快速地成長。此外，在巴賽爾銀行監督委員會 (Basel Committee on Banking Supervision, BCBS) 之「交易簿的基礎原則審視」(Fundamental Review of the Trading Book, FRTB) 新規範下，對於市場風險之管控和估計也更加重視。本論文以市場上常見可贖回固定期限交換 (Constant Maturity Swap, CMS) 利率價差區間計息型商品做為評價對象，透過一般化交換市場模型 (Generalized Swap Market Model, GSMM)，以及最小平方蒙地卡羅法 (Least Squares Monte Carlo method, LSMC) 計算商品之模擬價值，並進行敏感度分析 (Sensitivity analysis) 求得相關避險參數，最後從商品的評價面以及風險管理面做相關之研究分析。

關鍵字

利率衍生性商品；固定期限交換利率；區間計息型商品；一般化交換利率市場模型；最小平方蒙地卡羅模擬法；敏感度分析

並列摘要

In the recent financial market environment, relevant interest rate derivatives have grown rapidly because of the needs of high net worth individuals and institutional investors for hedging and risk management purposes. Moreover, in the new norm of FRTB established by BCBS, it pays more attention to market risk management and measurement. In this paper, we price the product of interest rate derivatives for the callable range accrual linked to CMS spread which is the common financial instrument traded in the market by LSMC under GSMMs. Additionally, we evaluate the value of this product and calculate the relevant Greeks by sensitivity analysis. Finally, we discuss and analyze the empirical results from valuation and risk management sides.

並列關鍵字

Interest Rate Derivative ； Constant Maturity Swap ； Range Accrual ； Generalized Swap Market Model ； Least Squares Monte Carlo Simulation ； Sensitivity Analysis