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Bootstrapping the OIS curve in a South African bank
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...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2018
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| _version_ | 1867613185009254400 |
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| access_status_str | Open Access |
| author | Van Heeswijk, Dirk |
| author2 | Mahomed, Obeid |
| author_browse | Mahomed, Obeid Van Heeswijk, Dirk |
| author_facet | Mahomed, Obeid Van Heeswijk, Dirk |
| author_sort | Van Heeswijk, Dirk |
| collection | Thesis |
| description | 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. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/27104 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:07.214Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2018 |
| publishDateRange | 2018 |
| publishDateSort | 2018 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/27104 Bootstrapping the OIS curve in a South African bank Van Heeswijk, Dirk Mahomed, Obeid Mathematical Finance 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. 2018-01-30T10:26:28Z 2018-01-30T10:26:28Z 2017 Master Thesis Masters MPhil http://hdl.handle.net/11427/27104 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Van Heeswijk, Dirk Bootstrapping the OIS curve in a South African bank |
| thesis_degree_str | Master's |
| title | Bootstrapping the OIS curve in a South African bank |
| title_full | Bootstrapping the OIS curve in a South African bank |
| title_fullStr | Bootstrapping the OIS curve in a South African bank |
| title_full_unstemmed | Bootstrapping the OIS curve in a South African bank |
| title_short | Bootstrapping the OIS curve in a South African bank |
| title_sort | bootstrapping the ois curve in a south african bank |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/27104 |
| work_keys_str_mv | AT vanheeswijkdirk bootstrappingtheoiscurveinasouthafricanbank |