Technical papers/Interest Rate Derivatives
Quants develop a hassle-free model that can handle negative interest rates
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
More Technical papers/Interest Rate Derivatives articles
Exploring constant maturity asset swaps
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.