NEGATIVE RATES: DEALING WITH AN UNORTHODOX EXPERIMENT – Sept 28, 11am ET

WHAT: Live Q&A: Negative Rates
DATE: Wednesday, September 28
TIME: 11am (ET) | 8am (PT) | 4pm (BST)

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NEGATIVE RATES: DEALING WITH AN UNORTHODOX EXPERIMENT

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

EVENT SPEAKERS

Russell Goyder

Director of Quantitative Research and Development at FINCAD

Mark Gibbs

Chief Software Architect at FINCAD

John Hull

Professor of Finance
Co-Director of the Rotman Master of Finance Program
University of Toronto, Rotman School of Management

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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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