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Colloquium Natural and Life Sciences – Eva‐Maria Lütkebohmert‐Holtz

Prof. Dr. Eva-Maria Lütkebohmert Holz

Albert-Ludwigs-Universität Freiburg 
Quantitative Finanzmarktforschung
Internal Senior Fellow 

Post Crisis Interest Rate Markets
When May 21, 2019
from 11:30 AM to 12:30 PM
Where FRIAS, Albertstr. 19, Seminar Room
Contact Name
Contact Phone +49 (0)761 203-97362
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Post Crisis Interest Rate Markets

 

The global financial crisis of 2007/2008 triggered significant and lasting changes in interest rate markets which invalidated the classical notion of a single term structure of interest rates and corresponding pricing methodolgies. Instead post‐crisis interest rate markets are characterized by multiple tenor‐dependent term structures, i.e. yields depend not only on the maturity but also on the tenor structure of the interest rate derivative from which they are calculated. Therefore, a new pricing methodology known as multiple curve pricing framework has been developed in the past years. In this talk we address these innovations in interest rate markets and we discuss their implications for bootstrapping, forecasting, risk management, and pricing.