The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments. This paper presents a diagnostic tool for analysing the quantiles of...

Interest-rate volatility is known to be positively level dependent, i.e., to correlate positively with interest rate levels. However, recent research has provided compelling evidence that as interest rates rise, the amount of level dependence decreases. We advance this line of research by...