World Business StrategiesServing the Global Financial Community since 2000

Thursday 21st October (All times are BST)

09.00 - 10.00
“SABR Smiles for RFR Caplets”
  • Pricing of caplets on compounded overnight rates
  • Natural extension of the market standard SABR model to account for the volatility decay in the accrual period
  • Allows to look at backward and forward-looking smiles in normalized units

Sander Willems:

SRT Quants, RBC Capital Markets

10.00 - 11.00
LIBOR Reform and the ICE LIBOR Swap Rate Fixing

Oscar Arias:

Head of Structured Rates Quantitative Analytics, NatWest Markets

11.00 - 11.30
Morning Break and Networking Opportunities
11.30 - 12.30
Industry Progress and Operational Readiness Towards the Transition

Erik Vynckier:

Interim Chief Executive, Foresters Friendly Society

12.30 - 13.30
Calibrating the SOFR Term Structure and Other Modelling Challenges
  • Daily compounding and payment in arrears
  • SOFR futures
  • Calibrating SOFR curves
  • SOFR rates for FRN’s and loans
  • Lookbacks and lockouts
  • Challenges for XVA simulations

Dmitry Pugachevsky:

Director, Research, Quantifi

13.30 - 14.30
Lunch
14.30 - 15.30
Modelling and Calibrating Volatility Decay Factors

Fabio Mercurio: 

Global Head of Quant Analytics, Bloomberg L.P.

15.30 - 16.00
Afternoon Break and Networking Opportunities
16.00 - 17.00
SOFR/LIBOR Transition Impact on Markets Fallbacks

Jonathan Rosen:

Product Manager, Quantitative Analytics, Fincad

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

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

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