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Webinar:

Mastering Negative Rates: Best Practices

On-Demand Webinar

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Overview

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

FINCAD white papers bring you the latest analysis from FINCAD financial experts and industry knowledge leaders, providing comprehensive insight into exchange traded and OTC derivatives, risk management, current regulations and compliance issues.

Founded in 1990, FINCAD provides software and services supporting the valuation and risk management of cross-asset class derivatives and fixed income securities to banks, corporate treasuries, asset management and insurance firms, auditors, hedge funds, and governments. FINCAD is the industry standard for financial analytics used by more than 4,000 organizations in over 80 countries. 2015 FinancialCAD Corporation.