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摘要翻译：
我们提出了一个定量的研究市场和模型演变的整个信贷紧缩危机。特别是，我们侧重于固定收益市场，并分析了最相关的经验证据，涉及Libor和OIS利率之间的差异、基差互换利差的爆炸，以及抵押品协议和CSA贴现的扩散，从信贷和流动性影响的角度来看。此外，我们亦回顾业界普遍采用的新的现代定价方法，其基础是反映不同年期Libor利率不同信贷及流动性风险的多条收益率曲线，以及以每日保证金为抵押品的衍生工具交易所产生的现金流量的隔夜贴现。本文给出了普通vanilla利率衍生品的经典和现代无套利定价公式，以及随机波动率下市场标准SABR模型的多重曲线推广。然后，我们报告了对最近的市场数据进行实证分析的结果，比较了信贷危机前后的定价方法，并展示了市场实践从古典框架向现代框架的过渡。特别地，我们证明了自2010年3月以来，利率互换市场放弃了典型的信贷危机前利率世界的经典单曲线定价方法，而采用了现代多曲线CSA方法，从而将信贷和流动性效应纳入市场价格。同样的分析应用于欧洲上限/底板，发现向现代多曲线CSA方法的全面过渡推迟到2010年8月。最后，我们证明了SABR模型在校正市场波动微笑方面的鲁棒性，并与新的市场证据相一致。
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英文标题：
《Interest Rates After The Credit Crunch: Multiple-Curve Vanilla
Derivatives and SABR》
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作者：
Marco Bianchetti and Mattia Carlicchi
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and the overnight discounting of cash flows originated by derivative transactions under collateral with daily margination. We report the classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple-curve generalization of the market standard SABR model with stochastic volatility. We then report the results of an empirical analysis on recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market practice from the classical to the modern framework. In particular, we prove that the market of Interest Rate Swaps has abandoned since March 2010 the classical Single-Curve pricing approach, typical of the pre-credit crunch interest rate world, and has adopted the modern Multiple-Curve CSA approach, thus incorporating credit and liquidity effects into market prices. The same analysis is applied to European Caps/Floors, finding that the full transition to the modern Multiple-Curve CSA approach has retarded up to August 2010. Finally, we show the robustness of the SABR model to calibrate the market volatility smile coherently with the new market evidences.
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PDF链接：
https://arxiv.org/pdf/1103.2567
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