WHAT: Live Q&A: Negative Rates
DATE: Wednesday, September 28
TIME: 11am (ET) | 8am (PT) | 4pm (BST)
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. Russell Goyder, Director of Quantitative Research and Development at FINCAD discusses 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