Neither “Normal” nor “Lognormal”: Modeling Interest Rates across All Regimes
提出一种基于“逆看涨转换”的简单方法，将利率转换为影子利率，在低利率甚至负利率环境下也能有效管理投资组合利率风险，比传统正态或对数正态模型更可靠。
We introduce a simple approach to managing portfolio interest rate risk that is consistent and performs well across different interest rate regimes, including when interest rates are low or even negative. Inspired by Fischer Black, this approach uses a novel “inverse-call transformation” methodology to convert interest rates into “shadow rates.” We show that this methodology is more appropriate than the standard “normal” and “lognormal” models for forecasting and managing the distribution of the profits and losses of portfolios affected by the term structure of interest rates, producing more reliable forecasts and thus risk estimates for purposes of both internal and regulatory risk management.