World Business StrategiesServing the Global Financial Community since 2000

Wednesday 20th October (All times are BST)

09.00 - 10.00
Introduction:
  • LIBOR – it is not just the G7 currencies!
  • Global Market Update
  • LIBOR post end 2021
  • LIBOR post end 2023

Navin Rauniar:

Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

10.00 - 11.00
ICE Swap Rate: fallback, approximation, exotic and convexity.
  • Fallback proposal by working groups
  • How good/bad is the implicit approximation?
  • Non-linear transformation of payoffs and new strikes
  • Implicit convexity adjustment embedded in proposals

Marc Henrard:

Managing Partner muRisQ Advisory and Visiting Professor, University College London

11.00 - 11.30
Morning Break and Networking Opportunities
11.30 - 12.30
Model Risk and Ibor Transition

Maurizio Garro:

Senior Lead – IBOR Transition programme, Lloyds Banking Group

12.30 - 13.30
LIBOR Transition: Alternative Interest Rate Benchmarks

Andrea Macrina:

Professor of Mathematics, University College London (UCL)

13.30 - 14.30
Lunch
14.30 - 15.30
“The Curious Case of Backward Short Rates”

Andrei Lyashenko:

Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.

15.30 - 16.00
Afternoon Break and Networking Opportunities
16.00 - 17.00
Panel: Interest Rate Reform
  • Getting IBOR done – key challenges
  • The USD problem
  • How does the G7 set a precedence for remaining IBOR markets?
  • OIS or Credit Spread Sensitivity?

Moderator:

Navin Rauniar:

Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

Vladimir Piterbarg:

MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets

Sasha Polishchuk:

Director, Product Control Regulatory Initiatives, RBC

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

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

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