White Paper

The Sensitivity of Interest Rate Products with Embedded Optionality in a Negative Rate World

Company: Prometeia

Prometeia  case study

Category: Derivatives

Published: 23 February 2017




Negative interest rates shook a universe that needed not to be shaken and has subsequently sparked the need for many organisations to rethink their current models.

This white paper explores the new scenarios opened by negative interest rates; the associated risks; and the models organisations can use to account for negative rates. 

It aims to be as much as possible a self-contained discussion of the consequences, as far as risk-management goes, of this new paradigm.

Categories related to Derivatives