英文标题：
《On the range of admissible term-structures》
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作者：
Areski Cousin (SAF), Ibrahima Niang (SAF)
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最新提交年份：
2014
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英文摘要：
In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible properties: arbitrage-freeness, ability to fit market quotes and a certain degree of smooth- ness. When present values of building instruments are expressed as linear combinations of some primary quantities such as zero-coupon bonds, discount factor, or survival probabilit- ies, arbitrage-free bounds can be derived for those quantities at the most liquid maturities. As a matter of example, we present an iterative procedure that allows to compute model-free bounds for OIS-implied discount rates and CDS-implied default probabilities. We then show how mean-reverting term structure models can be used as generators of admissible curves. This framework is based on a particular specification of the mean-reverting level which al- lows to perfectly reproduce market quotes of standard vanilla interest-rate and default-risky securities while preserving a certain degree of smoothness. The numerical results suggest that, for both OIS discounting curves and CDS credit curves, the operational task of term- structure construction may be associated with a significant degree of uncertainty.
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中文摘要：
在本文中，我们分析了在一个过程中构造的期限结构函数（如收益率曲线、互换曲线、信用曲线）的多样性，该过程符合一些可接受的性质：无套利性、适应市场报价的能力和一定程度的平滑性。当建筑工具的现值表示为一些主要数量的线性组合时，如零息票债券、贴现因子或生存概率，可以在最具流动性的到期日推导出这些数量的无套利界限。作为一个例子，我们提出了一个迭代过程，允许计算OIS隐含贴现率和CDS隐含违约概率的无模型界限。然后，我们展示了均值回复项结构模型如何被用作可容许曲线的生成器。该框架基于均值回复水平的特定规范，它可以完美地重现标准利率和违约风险证券的市场报价，同时保持一定程度的平稳性。数值结果表明，对于OIS贴现曲线和CDS信用曲线，期限结构构建的操作任务可能与显著程度的不确定性有关。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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