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- W2892333286 abstract "Following the 2008 financial crisis, the dual curve discounting method became widely used in valuing interest rate swaps denominated in major currencies, which implies the market consensus of accepting Overnight Indexed Swap rates as new proxies of risk-free rates. However, in the Chinese market, the outdated single curve discounting method is still widely used, because there is no consensus on the choice of the risk-free rate proxy. We apply the dual curve discounting method to the Chinese interest rate swap market and recommend using the 7-day fixing repo rate, a benchmark interest rate of the Chinese repo market, as the risk-free rate. Empirically, using the single curve discounting method may significantly undervalue a swap contract to the fixed rate receiver." @default.
- W2892333286 created "2018-09-27" @default.
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- W2892333286 date "2018-09-05" @default.
- W2892333286 modified "2023-09-24" @default.
- W2892333286 title "Interest Rate Swap Valuation in the Chinese Market" @default.
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- W2892333286 doi "https://doi.org/10.1142/9789813272569_0013" @default.
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