Interest Rate Modelling in Times of Low and Negative Interest Rates – Best Practices and Recent Developments
Speaker: Dr. Mario Hörig
The present low and negative interest rate environment has introduced a variety of challenges for what has been the status-quo in interest rate modelling for a long time. State-of-the-art interest rate models need to be able to reflect the probability for negative interest rates to occur in a proper way; at the same time, long-standing paradigms for the calibration of interest rate models have lost their fundament.
The webinar covers how the various challenges of low and negative interest rate can be tackled when it comes to modelling topics insurance companies are facing, for both, risk-neutral valuations as well as real-world forecasting applications. Dr. Mario Hoerig will introduce state-of-the art approaches for interest rate models with a focus on recent trends and solutions with respect to low and negative interest rates. Among others he will deal with the question whether interest rate models should display a lower bound for interest rates, discuss arguments for and against this, introduce models and tools how to enforce a lower bound for interest rates and discuss key requirements for such models when it comes to regulatory questions such as the absence of arbitrage opportunities. The agenda will also contain detailed case studies for risk-neutral and real world applications of interest rate models.