Overnight Index Swap을 이용한 원화 무위험금리 추정 및 분석

Since the global financial crisis, CCP-cleared and global margin trades have been increasing in overseas swap markets, leading to the stage that swap pricing convention has been in transition from single curve to dual curve method. Along with this trend, collateralized swap trades in Korea grow under both CCP clearing and global margin regulations, however the pricing by dual curve has yet to be developed. As to collateralized swap, the pricing by single curve will result in mis-pricing because future cash flows are to be derived from swap rate curves and discounting factor calculated from the same curves. This study investigates a solution to sort out mis-pricing, using a discounting curve that has been estimated aside from swap rate curve based on Hull-White one factor model, where the model is tested against IRS and OIS rates across USD, GBP and AUD swap markets. As a result from the repricing of collateralized KRW-IRS, swap prices by dual curve are observed consistently higher than that by single curve for the received position at the KRW-IRS rates rally, and higher than that by single curve for the paid position at the KRW-IRS rates sell-off. Conclusively when CCP-cleared and Global Margin trades are discounted using single curve, prices are under or over-valued, allowing economic wealth to be transferred without a proper cost. To address these issues on collateralized swap pricing, the KRW-OIS market should be established and swap pricing convention by KRW-OIS rates needs to be settled down at the earliest date.