This talk will cover the development of short rate modelling of interest rates over the last thirty years; assessing the strengths and weaknesses of the various approaches which have been proposed. In particular we consider: How analytically tractable is the model; How well can it be fitted to market data; in particular; volatility skew and smile and low/negative interest rate regimes? Can the model conveniently be extended to handle calculations involving compounded rates? Can it conveniently be extended to a multi-asset context to handle hybrid products?
Part of the Fitch Group, Fitch Learning partners with clients to enhance knowledge, skills and conduct. With centers in London, New York, Chicago, Singapore, Dubai and Hong Kong, we are committed to questioning and understanding client needs across the globe and on the ground locally. Our people advise and build learning solutions to accelerate the achievements of the individual and the company, across the entire employee lifestyle.
Our courses cover a wide range of financial topics across ten sectors:
• Corporate Credit Analysis
• Bank Analysis
• Insurance Company Analysis
• Corporate Finance
• Risk Management in Financial Institutions
• Structured Finance & Securitization
• Non-Bank Financial Institutions
• Modeling & Excel
• Capital Markets & Investment
• Professional Skills
Fitch Learning also offers customized, in-house training to meet your specific requirements. We work with our clients to define your needs and work in partnership with you to deliver truly blended, innovative solutions. Our extensive expertise and global teams mean that we can deliver across a range of industries and subject matter.
