World Business StrategiesServing the Global Financial Community since 2000

Workshop Day: Tuesday 19th October

13.00 - 17.00
Half Day Workshop

LIBOR Transition: Almost there and so much to do for quants

  • (Pre-Conference Workshop included complimentary)

LIBOR will cease in a couple of months. The cessation is the end of a long journey and the start of many others. The quantitative finance impacts of the transitions will stay with us for many years. The new financial instruments resulting from the fallback may look familiar but they all have their idiosyncrasies that make them special. Moreover the rules are different for different instruments; back-to-back portfolios before the fallback may not be back-to-back after.

The workshop will go through some of those issues and describe some of the quant’s developments that will still be required after the cessation.

Agenda

Liquidity in ESTR, SONIA and SOFR

ISDA fallback spreads v recent LIBOR/SOFR data

Multiple fallbacks; one spread to rule them all!

  •   T-2 shifts impacts
  •   CCP v Bilateral
  •   ICE Swap Rate v LIBOR
  •   Cash/bond v derivatives

USD: alternatives to SOFR – AMERIBOR, BSBY, ICE BYI, AXI, CMT

Hidden issues

  •   Vanilla swaptions and CMS becoming exotic
  •   Convexity in OIS
  •   Multiple discounting in swaptions
  •   SOFR Term rate hedging

Marc Henrard:

Managing Partner muRisQ Advisory and Visiting Professor, University College London

  • Discount Structure
  • Special Offer
    When two colleagues attend the 3rd goes free!

  • 70% Academic Discount
    (FULL-TIME Students Only)

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