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 rate derivatives and bonds with models that assume non-negative rate dynamics.

In this presentation, the speakers will discuss 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 Time
5:00 – 8:00 pm
Event Date
Tuesday, June 28, 2016
Event Location

4 E 60th Street
Harmonie Club
New York, NY
United States

Russell Goyder
Sanjay Sharma
David Zhang