Workshop Day: Tuesday 19th October
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
Marc Henrard:
Marc Henrard: Managing Partner muRisQ Advisory and Visiting Professor, University College London
Over the last 20 years, Marc has worked in various areas of quantitative finance. Marc’s career includes Head of Quantitative Research at OpenGamma, Global Head of Interest Rate Modeling for Dexia Group, Head of Quantitative Research and Deputy Head of Interest Rate Trading at the Bank for International Settlements (BIS) and Deputy Head of Treasury Risk also at BIS.
Marc’s research focuses on interest rate modeling and risk management. More recently he focused his attention to market infrastructure (CCP and bilateral margin, exchange traded product design, regulatory costs). He publishes on a regular basis in international finance journals, and is a frequent speaker at academic and practitioner conferences. He recently authored two books: The multi-curve framework: foundation, evolution, implementation and Algorithmic Differentiation in Finance Explained.
Marc holds a PhD in Mathematics from the University of Louvain, Belgium. He has been research scientist and university lecturer in Belgium, Italy, Chile and the United Kingdom.