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(LI)Bor: one model again

By Montenegro Silva Miguel

Abstract

Tese de mestrado, Matemática Financeira, Faculdade de Ciências, Universidade de Lisboa, 2009A actual crise, conhecida por Crise do “Sub-Prime”, teve múltiplas consequências na forma como a teoria financeira se debruça sobre os mercados financeiros, uma das quais é a inconsistência que as actuais taxas oferecidas no mercado interbancário (BOR) colocam à teoria das taxas de juro. A literatura e a comunidade de negociação identificaram diversos factores para o comportamento estranho tal como o prémio de risco e o prémio de liquidez (este último como resíduo de regressões). A resposta desta última foi no sentido de tratar cada maturidade do mercado monetário de forma independente de outras maturidades e as diferenças entre si como uma classe de activos autónoma (Basis Swaps). A comunidade científica centrou-se no “fixing” de uma única maturidade, esquecendo inclusive o mercado a prazo e providenciando uma resposta muito limitada sobre a natureza da dinâmica da BOR. O que actualmente falta é um modelo consistente que capture a informação de todos estes “novos mercados” e que nos devolva a sensação de um mercado único. Propomos uma moldura teórica para um modelo estocástico multifactor que incorpora cada um dos factores percebidos de uma forma consistente com a tomada de decisão dos agentes. Ela mantém a simplicidade dos modelos de taxa de juro standard e, mais importante, preserva a unicidade do mercado interbancário. Um modelo que trata todo o conjunto de curvas BOR. As questões que tratamos são importantes não só para a comunidade de investimento mas também para reguladores e autoridades monetárias na resolução de problemas no mercado interbancário. É necessário identificar claramente o problema de forma a resolve-lo e o modelo proposto constitui uma ferramenta útil para a sua identificação. Iremos desenvolver a referida moldura teórica e ilustrar a sua dinâmica com alguns exemplos reais.The current crisis, commonly named Sub-Prime crisis, had multiple implications on the way financial theory addresses financial markets, one of which is the curve inconsistency that current interBank Offered Rates (BOR) reality poses to interest rate theory. Literature and trading community identified several factors for this strange behavior such as credit risk and liquidity premium (always the residual of regressions). The response of the later has been to treat each money market tenor independently from others and the difference between them as an autonomous asset class (Basis Swaps). Scientific community has been focused on one only tenor and also forgetting the market of forwards while providing a very limited answer about the nature of the BOR dynamics. What currently lacks is a consistent model that captures the information in all these “new markets” and gives us back a sense of an unique market. We propose the theoretical framework for multifactor stochastic model which incorporates each perceived factor in a way consistent with agent’s decisions. It keeps the simplicity of standard interest rate models and, most importantly, it preserves the unity of the interbank market. One model to address the entire set of BOR curves. The questions we approach are important not only to the derivatives community but also to regulators and monetary authorities in addressing the problems mirrored in the interbank market. One needs to clearly identify the problem in order to address it, and the proposed model in an useful tool to accomplish this goal. We shall develop the referred theoretical framework and illustrate its dynamics with several real examples

Topics: Mercado monetário, Libor, Crédito, Liquidez, Final de ano, Teses de mestrado - 2009
Year: 2009
OAI identifier: oai:repositorio.ul.pt:10451/5866
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