서지주요정보
원화 이자율 스왑 스프레드에 대한 실증연구 = An empirical analysis on the swap spreads of the korean won interest rate swap
서명 / 저자 원화 이자율 스왑 스프레드에 대한 실증연구 = An empirical analysis on the swap spreads of the korean won interest rate swap / 한석진.
발행사항 [대전 : 한국과학기술원, 2004].
Online Access 원문보기 원문인쇄

소장정보

등록번호

8015386

소장위치/청구기호

학술문화관(문화관) 보존서고

MGSM 04088

휴대폰 전송

도서상태

이용가능

대출가능

반납예정일

등록번호

9009727

소장위치/청구기호

서울 학위논문 서가

MGSM 04088

휴대폰 전송

도서상태

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대출가능

반납예정일

리뷰정보

초록정보

This thesis contains an empirical analysis of the components of the Korean Won interest rate swap spreads defined as the difference between the fixed swap rate and the risk free rate of equal maturity. We establish and analyze the 5 hypotheses between the determinants, such as default risk spreads, expected CD spreads, slope of risk-free term structure, swap hedge cost and the supply of new corporate debt, and the swap spreads. Empirical analysis shows that default risk spreads and swap hedge cost have statistically significant effect on the Korean Won IRS spreads respectively i.e., Default risk affects the swap spreads in the positive manner and swap hedge cost does in the negative manner. However, there is no consistent empirical result with the hypothesis for the expected CD spreads except 1 year maturity swap. while reacting in the negative manner to the slope of risk-free term structure of 5 year or shorter term maturity swaps, the swap spreads become to respond in the positive manner with longer maturity. Although the supply of new corporate debt has not statistically significant effect on the Korean Won IRS spreads, we find the glimpse of its influence on the spreads at the time of 0 periods. This paper provides the empirical evidence that the Korean IRS spreads respond effectively to the financial market condition.

서지기타정보

서지기타정보
청구기호 {MGSM 04088
형태사항 iii, 59 p. : 삽화 ; 26 cm
언어 한국어
일반주기 저자명의 영문표기 : Suk-Jin Han
지도교수의 한글표기 : 강장구
지도교수의 영문표기 : Jang-Koo Kang
학위논문 학위논문(석사) - 한국과학기술원 : 금융공학전공,
서지주기 참고문헌 : p. 58-59
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