DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 이창주 | - |
dc.contributor.author | Kang, Meenmo | - |
dc.contributor.author | 강민모 | - |
dc.date.accessioned | 2024-07-26T19:31:07Z | - |
dc.date.available | 2024-07-26T19:31:07Z | - |
dc.date.issued | 2023 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=1047717&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/321016 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 금융공학프로그램, 2023.8,[iii, 24 p. :] | - |
dc.description.abstract | This thesis explores the application of butterfly strategies in the Korean Interest Rate Swaps (IRS) market, based on the predicted changes in the Nelson-Siegel model parameters, and evaluates their performance. The predictions are derived from historical values of the Nelson-Siegel parameters and economically relevant variables, which guide the execution of trades. The model that integrates economically motivated variables and exposes to the parameter $\beta _1$, representing the yield curve's slope, exhibited the most promising performance from both statistical and economic perspectives. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | 나비 전략 | - |
dc.subject | 넬슨-시겔 모형▼a금리 스왑▼a금리 커브 | - |
dc.subject | Nelson-Siegel model▼aInterest Rate Swaps▼aYield Curve▼aButterfly Strategy | - |
dc.title | Rates trading strategies based on predictions of Nelson-Siegel parameter changes: Evidence in the Korean swap market | - |
dc.title.alternative | 넬슨-시겔 모형 파라미터 예측을 통한 이자율 트레이딩 전략 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :금융공학프로그램, | - |
dc.contributor.alternativeauthor | Lee, Chang Joo | - |
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