摘要
由于报价机制方面的天然缺陷,Libor正不断遭受市场挑战。未来,以SOFR、SONIA、ESTR等新基准利率为代表的新一代无风险利率将逐渐取代Libor的市场地位。在此背景下,该文对全球基准利率的演进历程进行了回顾,并提出了后Libor时代新基准利率SOFR折现曲线构建的一种可行思路,最后对境内无风险利率建设进行了探讨。
Libor has been facing market challenges due to its flaws in quotation mechanism.In the future,alternative benchmark interest rates such as SOFR,SONIA,and ESTR will become new risk-free rates and gradually replace Libor’s market position.In this context,the article reviews the evolution of global benchmark interest rates,and proposes a feasible method to build a new discount curve based on the new benchmark interest rate SOFR in the post-Libor era.Finally,it discusses the development of risk-free rates in China.
出处
《中国货币市场》
2020年第1期53-57,共5页
China Money
