Türkiye faiz swapı piyasaları için affine vade primi modeli: faiz takası volatilite riskini hedge etmek amaçlı kullanılabilir mi?

---

Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Türkiye

Tezin Onay Tarihi: 2019

Öğrenci: Ali Genca Özbekler

Danışman: ÖMÜR UĞUR

Özet:

We follow novel procedure of [4] to assess presence of unspanned stochastic volatility (USV) phenomenon in the Turkish lira interest rate swap (IRS) market. The estimations reveal that IRS yield curve dynamics fail to span volatility in IRS market and thus volatility risk cannot be hedged using only IRS instruments. The major implication of USV is then used to investigate the systemic volatility in domestic markets. In this scope, we employ USV condition as a specification for affine term structure (AFTS) models. Comparing AFTS models with stochastic and constant volatility, we find that three-factor constant volatility model provides more robust estimation results in terms of both volatility and yield fitting.