Webcast : Negative Rates: Dealing with an Unorthodox Experiment, July 21, 10am ET

DATE

Thursday, July 21st, 2016
10am (ET) | 7am (PT) | 3pm (BST)

Join Russell Goyder, Director of Quantitative Research and Development at FINCAD to learn about the context for negative rates and the best approaches to modeling them and understanding their business impact, including:

Model requirements for negative rates
Building curves in a negative interest rate environment
Modeling swaptions: vol cube and SABR modeling, pros and cons
Interest rate modeling beyond swaptions
Save your seat and register now!
OVERVIEW


Once thought to be impossible, negative interest rates are now common in many European currencies. This presents a challenge for pricing and risk managing some rates derivatives and bonds with models that assume non-negative rate dynamics.

Join Russell Goyder, Director of Quantitative Research and Development at FINCAD to learn about the context for negative rates and the best approaches to modeling them and understanding their business impact, including:

  • Model requirements for negative rates
  • Building curves in a negative interest rate environment
  • Modeling swaptions: vol cube and SABR modeling, pros and cons
  • Interest rate modeling beyond swaptions

PRESENTERS


Russell Goyder, Director of Quantitative Research and Development, FINCAD
Before joining FINCAD’s quant team in 2006, Dr. Goyder worked as a consultant at The MathWorks, solving a wide range of problems in various industries, particularly in the financial industry. In his current role, Dr. Goyder manages FINCAD’s quant team and oversees the delivery of analytics functionality in FINCAD’s products, from initial research to the deployment of production code. Dr. Goyder holds a PhD in Physics from the University of Cambridge.

Matthew Streeter, Director of Quantitative Research and Development, FINCAD
Matthew Streeter, Capital Markets Strategist at FINCAD, has expertise in derivatives trading, structuring & pricing models as well as a background in operations, pension fund analysis, hedging strategies and PnL / performance reporting. He has held positions at JP Morgan, Société Generale, Wachovia Capital Markets, Bank of America and Deutsche Bank.

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About AIWMI

The Association of International Wealth Management of India (AIWMI) is a not-for-profit organization and a globally recognized membership association for finance professionals. AIWMI primarily focuses on the broad and strategic role of developing a more robust and forward-looking training infrastructure for the financial services sector and to promote more active industry involvement and collaboration in training and continuing education. AIWMI is offering advanced international certification programs along with a wide variety of high-quality executive education programs. AIWMI programs combine state-of-the-art knowledge and skills with practical experience and insights into the functioning of the financial sector. All AIWMI courses and educational events have an intense and pragmatic curriculum. Participants are exposed to the latest developments within the financial services sector. AIWMI plays a key role in guiding the development of the financial services sector. AIWMI works with key industry participants’ viz. the Government, the Regulators, the Industries/Associations, the Corporate, the Media and the General Public to achieve its objectives. Besides enhancing technical competence and professionalism in the industry, AIWMI organizes events and facilitates discussions to promote best practices in leadership and talent development in the financial sector with an aim to become Asia’s premier center of excellence for financial education.

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