03519ntm a22005297i 4500 000309578 CZ-PrVSE 20160617214327.0 m d cr n|||||||||| 160617s2016 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Kotálová, Magdalena ISIS:81778 dis The Switch from LIBOR to OIS Discounting eng The Switch from LIBOR to OIS Discounting / Magdalena Kotálová 2016 ?? s. : digital, PDF soubor Vedoucí práce: Bohumil Stádník Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2016 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2016 The main contribution of the diploma thesis is to give a comprehensive picture of the switch from LIBOR to OIS discounting. Prior to the global financial crisis, LIBOR (London Interbank Offered Rate) represented an approximation of the risk-free rate in the valuation of interest rate derivatives. The collapse of Lehman Brothers in 2008 resulted in sharp widening of the LIBOR-OIS spread, an indicator of the interbank market stress. Many derivative practitioners have become concerned about the choice of an appropriate risk-free rate. Traditional valuation approaches using LIBOR discounting have been reviewed. Meanwhile, the OIS (Overnight Indexed Swap) rate has become a better proxy for the risk-free rate, at least for collateralized or centrally cleared transactions. Firstly, the research aims to discover the divergences between LIBOR rates, popular pre-crisis proxies for the riskfree rate, and OIS rates, their post-crisis alternatives. Secondly, it covers the interbank lending market, and analyzes individual LIBOR-OIS spreads for the USD, EUR, GBP and CZK currency. Thirdly, it explores the transition to OIS discounting in connection with an influence on a wide spectrum of interest rate derivatives. Therefore, any potential effects are demonstrated on numerical valuation examples of interest rate swaps in the USD, EUR, and GBP currency. Finally, the diploma thesis addresses a topic of collateral management and clarifies different approaches using LIBOR or OIS rates for collateralized or non-collateralized transactions. Způsob přístupu: Internet finanční inženýrství [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas Interest Rate Derivatives LIBOR-OIS Spread OIS LIBOR Risk-Free Interest Rates Collateral Stádník, Bohumil pna2012685552 ths Staniek, Dušan ISIS:51776 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://isis.vse.cz/zp/54802/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/54802 Hlavní práce https://isis.vse.cz/zp/54802/posudek/vedouci Hodnocení vedoucího https://isis.vse.cz/zp/54802/posudek/oponent/48328 Oponentura https://isis.vse.cz/zp/54802/podrobnosti dc:identifier NEPOSILAT VSKP vse54802 160617 54802