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21 Nov 2018

Webinar: Interest Rate Modeling in Times of Low and Negative Interest Rates - Best Practices

Wednesday, 21 November 2018

  1. 10:00 - 12:00 Topics
  2. - Overview on state-of-the art interest rate models for both, risk-neutral valuations as well as real-world forecasting applications including a discussion of their key features
  3. - Challenges introduced by the present low and negative interest rate environment and discussion of the resulting requirements for interest rate
  4. - Calibration paradigms for interest rate models and the need for their adjustment in the presence of low and negative interest rates
  5. - Lower bounds for interest rate models:
  6. Pros and cons for the presence of a lower bound for interest rates
  7. How to set the lower bound appropriately?
  8. How can a lower bound be technically introduced into interest rate models?
  9. Regulatory requirements on such models (in particular the absence of arbitrage opportunities) and practical ways to validate whether an interest rate model complies with these requirements
  10. - Case Study 1: Impact of different interest rate models on the valuation of liabilities with embedded options and guarantees
  11. - Case study 2: A state-of-the-art real-world model for interest rates including a lower bound; simulation results and comparison to the Solvency II standard formula
  12. (Time zone: CET - Central European Time)

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