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