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Mastering Negative Rates: Best Practices

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. 

In this webinar, the speakers discuss the context for negative rates and the best approaches to modeling them, including:

  • Model requirements for negative rates
  • How to build curves in a negative interest rate environment
  • Modeling vanilla swaptions: vol cube and shifted SABR, pros and cons
  • Modeling rates exotics: shifted LMM, Hull-White, and others, pros and cons

On-Demand Webinar