构建模型研究亚洲利率互换曲线.pdfVIP

2015 6 28 Issue No: 15/21 G10 G3 / Navigating Asian Curves: An Asian Swap Model We introduce a model for Asian swap curves that is designed to give an indication of the “fundamental” value of each curve and each point on each curve. It is based on the idea that the term structure of a curve is a reflection of 1) a number of country-specific factors (e.g., macroeconomic expectations at various horizons, the individual responses of each central bank to deviations from their implicit or explicit output or inflation targets), 2) cross-country factors that determine the term-premia embedded in the level of each curve (e.g., public and external debt levels, fiscal and current account balances) and 3) global factors that determine the global term- premia (e.g., the level of G3 swap curves, G3 central bank balance sheets and the VIX index). This framework gives us a consistent framework for modeling the entire term structure of regional swap curves. Comparing this “fundamental” swap curve with the actual curve allows us to proactively identify investment opportunities. Going forward, we will use this framework as a complement to our existing Asia 5-yr swap model to identify trading opportunities across r