Bootstrapping the OIS curve in a South African bank

dc.contributor.advisorMahomed, Obeiden_ZA
dc.contributor.authorVan Heeswijk, Dirken_ZA
dc.date.accessioned2018-01-30T10:26:28Z
dc.date.available2018-01-30T10:26:28Z
dc.date.issued2017en_ZA
dc.description.abstractThe financial crisis in 2007 highlighted the credit and liquidity risk present in interbank (LIBOR) rates, and resulted in changes to the pricing and valuation of financial instruments. The shift to Overnight Indexed Swap (OIS) discounting and multi-curve framework led to changes in the construction of interest rate zero curves, with the OIS curve being central to this methodology. Developed markets, such as the European (EUR), were able to adopt this framework due to the existence of a liquid OIS market. In the case of the South African (ZAR) market, the lack of such tradeable instruments poses the issue of how to construct or infer the OIS curve. Jakarasi et al. (2015) proposed a method to infer the OIS curve through the statistical relationship between SAFEX ROD and 3M JIBAR. The extension of the statistical relationship used by Jakarasi et al. (2015) to more statistically rigorous models, capable of capturing more information relating to the relationship between the rates, arises from the expected cointegrating relationship exhibited between rates. This dissertation investigates the implementation of such statistical models to infer the OIS curve in the ZAR market.en_ZA
dc.identifier.apacitationVan Heeswijk, D. (2017). <i>Bootstrapping the OIS curve in a South African bank</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/27104en_ZA
dc.identifier.chicagocitationVan Heeswijk, Dirk. <i>"Bootstrapping the OIS curve in a South African bank."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017. http://hdl.handle.net/11427/27104en_ZA
dc.identifier.citationVan Heeswijk, D. 2017. Bootstrapping the OIS curve in a South African bank. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Van Heeswijk, Dirk AB - The financial crisis in 2007 highlighted the credit and liquidity risk present in interbank (LIBOR) rates, and resulted in changes to the pricing and valuation of financial instruments. The shift to Overnight Indexed Swap (OIS) discounting and multi-curve framework led to changes in the construction of interest rate zero curves, with the OIS curve being central to this methodology. Developed markets, such as the European (EUR), were able to adopt this framework due to the existence of a liquid OIS market. In the case of the South African (ZAR) market, the lack of such tradeable instruments poses the issue of how to construct or infer the OIS curve. Jakarasi et al. (2015) proposed a method to infer the OIS curve through the statistical relationship between SAFEX ROD and 3M JIBAR. The extension of the statistical relationship used by Jakarasi et al. (2015) to more statistically rigorous models, capable of capturing more information relating to the relationship between the rates, arises from the expected cointegrating relationship exhibited between rates. This dissertation investigates the implementation of such statistical models to infer the OIS curve in the ZAR market. DA - 2017 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2017 T1 - Bootstrapping the OIS curve in a South African bank TI - Bootstrapping the OIS curve in a South African bank UR - http://hdl.handle.net/11427/27104 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/27104
dc.identifier.vancouvercitationVan Heeswijk D. Bootstrapping the OIS curve in a South African bank. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/27104en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleBootstrapping the OIS curve in a South African banken_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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