英文标题：
《Pricing of Mexican Interest Rate Swaps in Presence of Multiple
  Collateral Currencies》
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作者：
Jorge Inigo
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最新提交年份：
2017
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英文摘要：
  The financial crisis of 2007/08 caused catastrophic consequences and brought a bunch of changes around the world. Interest rates that were known to follow or behave similarly of each other diverged. Furthermore, the regulation and in particular the counterparty credit risk began to to be considered and quantified. Consequently, pre-crisis models are no longer valid. Indeed, this work sets the basis to define a valid model that considers the post-crisis world assumptions for the Mexican swap market. The model used in this work was the proposed by Fujii, Shimada and Takahashi in [Fujii et. al., 2010b]. This model allow us to value interest rate derivatives and future cash flows with the existence of a collateral agreement (with a collateral currency). In this document we build the discounting and projection curves for MXN interest rate derivatives considering the collateral currencies: USD, EUR and MXN. Also, we present the pricing when the derivative is uncollateralized. Finally, we show the effect of the cross-currency swaps when valuing through different collateral currencies.
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中文摘要：
2007/08年的金融危机造成了灾难性后果，并在世界各地带来了一系列变化。已知的相互遵循或表现相似的利率出现了分歧。此外，开始考虑和量化监管，尤其是交易对手信用风险。因此，危机前的模式不再有效。事实上，这项工作为定义一个有效的模型奠定了基础，该模型考虑了危机后世界对墨西哥掉期市场的假设。本研究中使用的模型是Fujii、Shimada和Takahashi在【Fujii等人，2010b】中提出的。该模型允许我们在存在抵押协议（使用抵押货币）的情况下，对利率衍生品和未来现金流进行估值。在本文件中，我们构建了MXN利率衍生品的贴现和预测曲线，考虑到抵押品货币：美元、欧元和MXN。此外，我们还介绍了衍生工具无抵押时的定价。最后，我们展示了跨货币掉期在通过不同抵押品货币进行估值时的效果。
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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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