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ISBN13 | 9791139207743 |
ISBN10 | 1139207741 |
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º» Ã¥À» ÁýÇÊÇÏ¸ç ±âÁ¸ ½º¿Ò±³°ú¼°¡ °¡Áö°í ÀÖ´Â ÇѰ踦 º¸¿Ï, ½Ç¹«Àû °üÁ¡¿¡¼ ½º¿ÒÀ» È¿°úÀûÀ¸·Î ÀÌÇØÇÒ ¼ö ÀÖµµ·Ï µµ¿òÀÌ µÇ´Â ±ÛÀ» ¾²°íÀÚ Çß½À´Ï´Ù. ¸ÕÀú ÁÖÁ¦¸¦ ¼±Á¤ÇÔ¿¡ ÀÖ¾î ½º¿Ò ½Ç¹«ÀÚ¿¡°Ô ¸ðÀÚ¶óÁöµµ ±×·¸´Ù°í ³ÑÄ¡Áöµµ ¾Ê°Ô²û ¸¹Àº ½Å°æÀ» ½è½À´Ï´Ù. ½Ç¹«¸¦ ÇÔ¿¡ ÀÖ¾î ÇÊ¿äÇÑ ³»¿ëÀ» ºü¶ß¸®Áö ¾Ê±â À§ÇØ °í¹ÎÇß½À´Ï´Ù. ÇÏÁö¸¸ ½Ç¹«¿¡ ÀÖ¾î ÇÊ¿ä ÀÌ»óÀ¸·Î ÀÚ¼¼ÇÑ ³»¿ëÀ̶ó¸é °ú°¨È÷ »èÁ¦Çß½À´Ï´Ù.
2022³âºÎÅÍ Çѱ¹½ÃÀå¿¡¼ ½Ç¹«»ó º»°ÝÀûÀ¸·Î È°¿ëµÇ´Â RFR(Risk Free Reference Rate: ¹«À§Çè ÁöÇ¥±Ý¸®)À» Åä´ë·Î ±ÛÀ» ½è½À´Ï´Ù. ¹°·Ð ½Ç¹«¿¡ ÇÊ¿äÇÑ IBOR(InterBank Offered Rate: ÀºÇà°£ È£°¡ÁöÇ¥) °ü·Ã ³»¿ëµµ ÃæºÐÈ÷ ¹Ý¿µÇÏ¿´½À´Ï´Ù. ¸¶Áö¸·À¸·Î ±âȸ°¡ µÈ´Ù¸é 91ÀϹ° CD±Ý¸®¸¦ ´ëüÇÒ Çѱ¹Çü RFRÀÎ KOFR(Korea Overnight Financing Repo Rate)½º¿Ò¿¡ ´ëÇؼµµ ÃßÈÄ¿¡ ÇÔ²² °í¹ÎÇÏ°íÀÚ ÇÕ´Ï´Ù.
º» Ã¥À» ÁýÇÊÇÏ¸ç ±âÁ¸ ½º¿Ò±³°ú¼°¡ °¡Áö°í ÀÖ´Â ÇѰ踦 º¸¿Ï, ½Ç¹«Àû °üÁ¡¿¡¼ ½º¿ÒÀ» È¿°úÀûÀ¸·Î ÀÌÇØÇÒ ¼ö ÀÖµµ·Ï µµ¿òÀÌ µÇ´Â ±ÛÀ» ¾²°íÀÚ Çß½À´Ï´Ù. ¸ÕÀú ÁÖÁ¦¸¦ ¼±Á¤ÇÔ¿¡ ÀÖ¾î ½º¿Ò ½Ç¹«ÀÚ¿¡°Ô ¸ðÀÚ¶óÁöµµ ±×·¸´Ù°í ³ÑÄ¡Áöµµ ¾Ê°Ô²û ¸¹Àº ½Å°æÀ» ½è½À´Ï´Ù. ½Ç¹«¸¦ ÇÔ¿¡ ÀÖ¾î ÇÊ¿äÇÑ ³»¿ëÀ» ºü¶ß¸®Áö ¾Ê±â À§ÇØ °í¹ÎÇß½À´Ï´Ù. ÇÏÁö¸¸ ½Ç¹«¿¡ ÀÖ¾î ÇÊ¿ä ÀÌ»óÀ¸·Î ÀÚ¼¼ÇÑ ³»¿ëÀ̶ó¸é °ú°¨È÷ »èÁ¦Çß½À´Ï´Ù.
2022³âºÎÅÍ Çѱ¹½ÃÀå¿¡¼ ½Ç¹«»ó º»°ÝÀûÀ¸·Î È°¿ëµÇ´Â RFR(Risk Free Reference Rate: ¹«À§Çè ÁöÇ¥±Ý¸®)À» Åä´ë·Î ±ÛÀ» ½è½À´Ï´Ù. ¹°·Ð ½Ç¹«¿¡ ÇÊ¿äÇÑ IBOR(InterBank Offered Rate: ÀºÇà°£ È£°¡ÁöÇ¥) °ü·Ã ³»¿ëµµ ÃæºÐÈ÷ ¹Ý¿µÇÏ¿´½À´Ï´Ù. ¸¶Áö¸·À¸·Î ±âȸ°¡ µÈ´Ù¸é 91ÀϹ° CD±Ý¸®¸¦ ´ëüÇÒ Çѱ¹Çü RFRÀÎ KOFR(Korea Overnight Financing Repo Rate)½º¿Ò¿¡ ´ëÇؼµµ ÃßÈÄ¿¡ ÇÔ²² °í¹ÎÇÏ°íÀÚ ÇÕ´Ï´Ù.
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#0. µé¾î°¡±â¿¡ ¾Õ¼
#1. Àú´Â ½º¿ÒÀÌ Ã³À½Àä (1) - ½º¿ÒÀÌ Áß¿äÇÑ°¡¿ä?
#2. Àú´Â ½º¿ÒÀÌ Ã³À½Àä (2) - ½º¿ÒÀÌ ¹º°¡¿ä?
#3. Àú´Â ½º¿ÒÀÌ Ã³À½Àä (3) - IRS°¡ ¹º°¡¿ä?
#4. Àú´Â ½º¿ÒÀÌ Ã³À½Àä (4) - CRS°¡ ¹º°¡¿ä?
#5. Àú´Â ½º¿ÒÀÌ Ã³À½Àä (5) - FX Swap(Swap Point)°¡ ¹º°¡¿ä?
#6. ¼¿ï½º¿Ò½ÃÀå (1) - Àå¿ÜÆÄ»ý»óÇ°½ÃÀå
#7. ¼¿ï½º¿Ò½ÃÀå (2) - Vanilla IRS
#8. ¼¿ï½º¿Ò½ÃÀå (3) - Vanilla SOFR CRS
#9. ¼¿ï½º¿Ò½ÃÀå (4) - Seoul KRW IRS Market & KRX CCP
#10. ¼¿ï½º¿Ò½ÃÀå (5) - ½º¿Ò½ÃÀåÀÇ ¾ð¾î
#11. ÀÌ°Ç ¾Ë°í °¥±î¿ä? (1) - RFR(Risk Free Reference Rate)°ú USD SOFR OISÀÇ ÀÌÇØ
#12. ÀÌ°Ç ¾Ë°í °¥±î¿ä? (2) - Compounded SOFR & Term SOFR
#13. ÀÌ°Ç ¾Ë°í °¥±î¿ä? (3) - ½º¿ÒÄ¿ºêÀÇ ±âÃÊ
#14. ÀÌ°Ç ¾Ë°í °¥±î¿ä? (4) - RFR ½º¿ÒÄ¿ºêÀÇ ÀÌÇØ
#15. ÀÌ°Ç ¾Ë°í °¥±î¿ä? (5) - MTMÀÇ ÀÌÇØ
#16. ÀÌ°Ç ¾Ë°í °¥±î¿ä? (6) - Estimation curve¿Í Discounting curve
#17. MTM°ú ÇÔ²² º¸´Â SWAP ¿ë¾î (1) - Period End date (Unadjusted, Adjusted)
#18. MTM°ú ÇÔ²² º¸´Â SWAP ¿ë¾î (2) - Business day convention
#19. MTM°ú ÇÔ²² º¸´Â SWAP ¿ë¾î (3) - Holiday calendar
#20. MTM°ú ÇÔ²² º¸´Â SWAP ¿ë¾î (4) - Day count convention
#21. MTM°ú ÇÔ²² º¸´Â SWAP ¿ë¾î (5) - ÀÌÀÚÁö±ÞÁÖ±â
#22. ¿øÈ 1bp¿Í ´Þ·¯ 1bp´Â °°À»±î?
#23. ±ÝÀ¶»ê¼ö (1) - Discount Factor, Zero Rate
#24. ±ÝÀ¶»ê¼ö (2) - Implied Forward Rate
#25. ±ÝÀ¶»ê¼ö (3) - Boot Strapping
#26. ±ÝÀ¶»ê¼ö (4) - Interpolation
#27. ¼Õ½±°Ô ¸¸µå´Â ½º¿ÒÄ¿ºê (1) - KRW IRS
#28. ¼Õ½±°Ô ¸¸µå´Â ½º¿ÒÄ¿ºê (2) - USD SOFR OIS
#29. ¼Õ½±°Ô ¸¸µå´Â ½º¿ÒÄ¿ºê (3) - KRW FX SOFRÄ¿ºê¿Í Swap Point
#30. ¼Õ½±°Ô ¸¸µå´Â ½º¿ÒÄ¿ºê (4) - KRW FX SOFRÄ¿ºê¿Í KRW SOFR CRS
#31. Market IRS ±Ý¸® ¼Ó ±âÁرݸ® ¹Ý¿µ Ƚ¼ö
#32. ÇÑ´«¿¡ ÆľǵǴ Exotic Swap ±¸Á¶
#33. ¼Õ¿¡ ÀâÈ÷´Â Swap Point (1) - ‘Àü’°ú ‘BP’ÀÇ ¿¬°á°í¸®
#34. ¼Õ¿¡ ÀâÈ÷´Â Swap Point (2) - FX Swap °Å·¡ÀÇ º»ÁúÀº ‘Spread °Å·¡’´Ù
#35. ¼Õ¿¡ ÀâÈ÷´Â Swap Point (3) - Swap Point°¡ ¿òÁ÷ÀÌ´Â ¿øÀÎ
#36. ¼Õ¿¡ ÀâÈ÷´Â Swap Point (4) - Par Forward
#37. ¼Õ¿¡ ÀâÈ÷´Â Swap Point (5) - ÀÌÁ¾ÅëÈ Swap Point¿Í ¿¬È¯»ê¼öÀÍ·ü
#38. ¼Õ¿¡ ÀâÈ÷´Â Swap Point (6) - Today¿Í Tomorrow ±×¸®°í O/N°ú T/N
#39. All about Delta (1) - µ¨Å¸ÀÇ ±âÃÊ
#40. All about Delta (2) - FX Swap µ¨Å¸ÀÇ Êï(°¨)
#41. All about Delta (3) - CRS µ¨Å¸ÀÇ Êï(°¨)
#42. ÇÑ´«¿¡ Á¶¸ÁÇÏ´Â CRS
#43. ÇÑ´«¿¡ Á¶¸ÁÇÏ´Â FX SWAP
#44. ¼Õ¿¡ ÀâÈ÷´Â CRS (1) - CRS´Â ¹°·®ÀÌ ÃÖ°í´Ù
#45. ¼Õ¿¡ ÀâÈ÷´Â CRS (2) - ¿¡¼Â½º¿Ò
#46. ¼Õ¿¡ ÀâÈ÷´Â CRS (3) - ºÎ佺¿Ò
#47. ¼Õ¿¡ ÀâÈ÷´Â CRS (4) - ȯÀ²°ú CRS
#48. ¼Õ¿¡ ÀâÈ÷´Â CRS (5) - ½º¿ÒÄ¿ºê ´Ü¼ø ºÐÇØ
#49. ¼Õ¿¡ ÀâÈ÷´Â CRS (6) - ´Þ·¯±Ý¸®°¡ ¿Ã¶ó¼ Å©·Î½º ¿øȱݸ®°¡ ¶³¾îÁý´Ï´Ù
#50. ¼Õ¿¡ ÀâÈ÷´Â CRS (7) - Ãʱ⠿ø±Ý±³È¯ÀÌ »ý·«µÈ CRS
#51. ¼Õ¿¡ ÀâÈ÷´Â CRS (8) - Ãʱâ, ¸¸±â ¿ø±Ý±³È¯ÀÌ »ý·«µÈ CRS
#52. ¼Õ¿¡ ÀâÈ÷´Â CRS (9) - SOFR¿Í Fixing Risk
#53. CRS°¡ À¯¸®ÇÑ°¡¿ä? FX SwapÀÌ À¯¸®ÇÑ°¡¿ä?
#54. ´Ô¾Æ, ±× CRS¸¦ ¹ÏÁö¸¦ ¸¶¿À
#55. Early Take Up (1) - Á¶±âÀεµÀÇ ±âÃÊ
#56. Early Take Up (2) - Á¶±âÀεµ Swap PointÀÇ Á¶Á¤
#57. Unwinding (1) - IRS
#58. Unwinding (2) - FX Swap & CRS
#59. Unwinding (3) - UnwindingÀÇ ±â¹ý
#60. µÇ¤¾î º¸´Â IBOR (1) - Vanilla LIBOR CRS
#61. µÇ¤¾î º¸´Â IBOR (2) - IBOR ½º¿ÒÄ¿ºêÀÇ ÀÌÇØ
#62. µÇ¤¾î º¸´Â IBOR (3) - LIBOR USD IRSÄ¿ºê
#63. µÇ¤¾î º¸´Â IBOR (4) - 3/6 basisÄ¿ºê
#64. Æ®·¹ÀÌ´õ´Â ¿Ö ÇòÁö¹öÆÛ°¡ ÇÊ¿äÇÒ±î?
#65. Swap Market in Pandemic Crisis
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#0. µé¾î°¡±â¿¡ ¾Õ¼
#1. Àú´Â ½º¿ÒÀÌ Ã³À½Àä (1) - ½º¿ÒÀÌ Áß¿äÇÑ°¡¿ä?
#2. Àú´Â ½º¿ÒÀÌ Ã³À½Àä (2) - ½º¿ÒÀÌ ¹º°¡¿ä?
#3. Àú´Â ½º¿ÒÀÌ Ã³À½Àä (3) - IRS°¡ ¹º°¡¿ä?
#4. Àú´Â ½º¿ÒÀÌ Ã³À½Àä (4) - CRS°¡ ¹º°¡¿ä?
#5. Àú´Â ½º¿ÒÀÌ Ã³À½Àä (5) - FX Swap(Swap Point)°¡ ¹º°¡¿ä?
#6. ¼¿ï½º¿Ò½ÃÀå (1) - Àå¿ÜÆÄ»ý»óÇ°½ÃÀå
#7. ¼¿ï½º¿Ò½ÃÀå (2) - Vanilla IRS
#8. ¼¿ï½º¿Ò½ÃÀå (3) - Vanilla SOFR CRS
#9. ¼¿ï½º¿Ò½ÃÀå (4) - Seoul KRW IRS Market & KRX CCP
#10. ¼¿ï½º¿Ò½ÃÀå (5) - ½º¿Ò½ÃÀåÀÇ ¾ð¾î
#11. ÀÌ°Ç ¾Ë°í °¥±î¿ä? (1) - RFR(Risk Free Reference Rate)°ú USD SOFR OISÀÇ ÀÌÇØ
#12. ÀÌ°Ç ¾Ë°í °¥±î¿ä? (2) - Compounded SOFR & Term SOFR
#13. ÀÌ°Ç ¾Ë°í °¥±î¿ä? (3) - ½º¿ÒÄ¿ºêÀÇ ±âÃÊ
#14. ÀÌ°Ç ¾Ë°í °¥±î¿ä? (4) - RFR ½º¿ÒÄ¿ºêÀÇ ÀÌÇØ
#15. ÀÌ°Ç ¾Ë°í °¥±î¿ä? (5) - MTMÀÇ ÀÌÇØ
#16. ÀÌ°Ç ¾Ë°í °¥±î¿ä? (6) - Estimation curve¿Í Discounting curve
#17. MTM°ú ÇÔ²² º¸´Â SWAP ¿ë¾î (1) - Period End date (Unadjusted, Adjusted)
#18. MTM°ú ÇÔ²² º¸´Â SWAP ¿ë¾î (2) - Business day convention
#19. MTM°ú ÇÔ²² º¸´Â SWAP ¿ë¾î (3) - Holiday calendar
#20. MTM°ú ÇÔ²² º¸´Â SWAP ¿ë¾î (4) - Day count convention
#21. MTM°ú ÇÔ²² º¸´Â SWAP ¿ë¾î (5) - ÀÌÀÚÁö±ÞÁÖ±â
#22. ¿øÈ 1bp¿Í ´Þ·¯ 1bp´Â °°À»±î?
#23. ±ÝÀ¶»ê¼ö (1) - Discount Factor, Zero Rate
#24. ±ÝÀ¶»ê¼ö (2) - Implied Forward Rate
#25. ±ÝÀ¶»ê¼ö (3) - Boot Strapping
#26. ±ÝÀ¶»ê¼ö (4) - Interpolation
#27. ¼Õ½±°Ô ¸¸µå´Â ½º¿ÒÄ¿ºê (1) - KRW IRS
#28. ¼Õ½±°Ô ¸¸µå´Â ½º¿ÒÄ¿ºê (2) - USD SOFR OIS
#29. ¼Õ½±°Ô ¸¸µå´Â ½º¿ÒÄ¿ºê (3) - KRW FX SOFRÄ¿ºê¿Í Swap Point
#30. ¼Õ½±°Ô ¸¸µå´Â ½º¿ÒÄ¿ºê (4) - KRW FX SOFRÄ¿ºê¿Í KRW SOFR CRS
#31. Market IRS ±Ý¸® ¼Ó ±âÁرݸ® ¹Ý¿µ Ƚ¼ö
#32. ÇÑ´«¿¡ ÆľǵǴ Exotic Swap ±¸Á¶
#33. ¼Õ¿¡ ÀâÈ÷´Â Swap Point (1) - ‘Àü’°ú ‘BP’ÀÇ ¿¬°á°í¸®
#34. ¼Õ¿¡ ÀâÈ÷´Â Swap Point (2) - FX Swap °Å·¡ÀÇ º»ÁúÀº ‘Spread °Å·¡’´Ù
#35. ¼Õ¿¡ ÀâÈ÷´Â Swap Point (3) - Swap Point°¡ ¿òÁ÷ÀÌ´Â ¿øÀÎ
#36. ¼Õ¿¡ ÀâÈ÷´Â Swap Point (4) - Par Forward
#37. ¼Õ¿¡ ÀâÈ÷´Â Swap Point (5) - ÀÌÁ¾ÅëÈ Swap Point¿Í ¿¬È¯»ê¼öÀÍ·ü
#38. ¼Õ¿¡ ÀâÈ÷´Â Swap Point (6) - Today¿Í Tomorrow ±×¸®°í O/N°ú T/N
#39. All about Delta (1) - µ¨Å¸ÀÇ ±âÃÊ
#40. All about Delta (2) - FX Swap µ¨Å¸ÀÇ Êï(°¨)
#41. All about Delta (3) - CRS µ¨Å¸ÀÇ Êï(°¨)
#42. ÇÑ´«¿¡ Á¶¸ÁÇÏ´Â CRS
#43. ÇÑ´«¿¡ Á¶¸ÁÇÏ´Â FX SWAP
#44. ¼Õ¿¡ ÀâÈ÷´Â CRS (1) - CRS´Â ¹°·®ÀÌ ÃÖ°í´Ù
#45. ¼Õ¿¡ ÀâÈ÷´Â CRS (2) - ¿¡¼Â½º¿Ò
#46. ¼Õ¿¡ ÀâÈ÷´Â CRS (3) - ºÎ佺¿Ò
#47. ¼Õ¿¡ ÀâÈ÷´Â CRS (4) - ȯÀ²°ú CRS
#48. ¼Õ¿¡ ÀâÈ÷´Â CRS (5) - ½º¿ÒÄ¿ºê ´Ü¼ø ºÐÇØ
#49. ¼Õ¿¡ ÀâÈ÷´Â CRS (6) - ´Þ·¯±Ý¸®°¡ ¿Ã¶ó¼ Å©·Î½º ¿øȱݸ®°¡ ¶³¾îÁý´Ï´Ù
#50. ¼Õ¿¡ ÀâÈ÷´Â CRS (7) - Ãʱ⠿ø±Ý±³È¯ÀÌ »ý·«µÈ CRS
#51. ¼Õ¿¡ ÀâÈ÷´Â CRS (8) - Ãʱâ, ¸¸±â ¿ø±Ý±³È¯ÀÌ »ý·«µÈ CRS
#52. ¼Õ¿¡ ÀâÈ÷´Â CRS (9) - SOFR¿Í Fixing Risk
#53. CRS°¡ À¯¸®ÇÑ°¡¿ä? FX SwapÀÌ À¯¸®ÇÑ°¡¿ä?
#54. ´Ô¾Æ, ±× CRS¸¦ ¹ÏÁö¸¦ ¸¶¿À
#55. Early Take Up (1) - Á¶±âÀεµÀÇ ±âÃÊ
#56. Early Take Up (2) - Á¶±âÀεµ Swap PointÀÇ Á¶Á¤
#57. Unwinding (1) - IRS
#58. Unwinding (2) - FX Swap & CRS
#59. Unwinding (3) - UnwindingÀÇ ±â¹ý
#60. µÇ¤¾î º¸´Â IBOR (1) - Vanilla LIBOR CRS
#61. µÇ¤¾î º¸´Â IBOR (2) - IBOR ½º¿ÒÄ¿ºêÀÇ ÀÌÇØ
#62. µÇ¤¾î º¸´Â IBOR (3) - LIBOR USD IRSÄ¿ºê
#63. µÇ¤¾î º¸´Â IBOR (4) - 3/6 basisÄ¿ºê
#64. Æ®·¹ÀÌ´õ´Â ¿Ö ÇòÁö¹öÆÛ°¡ ÇÊ¿äÇÒ±î?
#65. Swap Market in Pandemic Crisis
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