Webinar

LIBOR Transition Series: Risk-Free Rates Volatility Data and Modelling

On Demand
Duration: 41 Minutes
Original Date: October 04, 2022

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As liquidity builds up in the risk-free rates (RFR) options market, RFR volatility data is now very much in the spotlight and is a critical component in valuation and risk management of non-linear RFR products. In addition, the migration to overnight rates is creating unique challenges in interest rate volatility modeling. Join us as we take a look at the RFR volatility data that Bloomberg offers. During this session we will review Bloomberg’s RFR volatility surface creation process, the data coverage and the corresponding BBG terminal resources. We will also discuss Bloomberg's volatility modeling methodology in the RFR space.

Discussion Topics
  • Overview of Bloomberg RFR volatility data
  • Bloomberg terminal resources for RFR volatility
  • Volatility modeling for compounded overnight RFR rates

Speakers

Mengfei Zhang

Product Manager – Derivative Market Data

Bloomberg L.P.

Mengfei Zhang is the Product Manager for Derivative Market Data at Bloomberg, LP. He is responsible for guiding product development and quant modeling of market data for OTC derivatives such as interest rate and FX volatilities. He published an article in the Journal of Derivatives (Fall 2016) about SABR model calibration for interest rate volatility. He has a B.A. in Economics from the University of International Business and Economics, and an M.S. in Quantitative Finance from Fordham University

Serge Resnick

Quantitative Analyst

Bloomberg L.P.

Serge Resnick is a quantitative analyst in the interest rate team within the Quant Analytics department at Bloomberg L.P. His specialty is no-arbitrage pricing models for interest rate derivatives. He has a Ph.D. in mathematics from the University of Chicago.

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