LIBOR fallback: a recognised expertise

Over the coming years, one of the main issues in interest rate trading and risk management will be the emergence of new benchmarks and the potential IBORs fallback.

In the past year, we have looked at those issues from a theoretical and from a practical point of view. Some of the theoretical issues are detailed in a note that Marc published recently called "A Quant Perspective on IBOR Fallback Consultation Results" (https://ssrn.com/abstract=3226183). On the practical side we have implemented different fallback options, curve calibration mechanism and convexity adjustment to analyze the impacts on large portfolios. Some descriptions of the tools are available in a series of previous blogs.

Our expertise has been recognized by the market as indicated from the invitations to most of the quantitative finance conferences in Europe over the next months. Marc has been invited as guest speaker or expert panelist at the following events:

• The future of LIBOR (CFA Society Denmark, Copenhagen, Denmark) - 24 January 2019
• CASS Financial Engineering seminar (CASS Business School, London, UK) - 6 February 2019
• Quant Summit (organized by Risk.Net, London, UK) - 6-7 March 2019
• Singapore Management University seminar - 8 April 2019
• QuantMinds International (Vienna, Austria) - 14-16 May 2019
• Risk Live (organized by Risk.Net, London, UK) - 27 June 2019

We are also presenting in-house workshops on similar subjects (see our training page on LIBOR) at different financial institutions in Europe.

Don't hesitate to contact us if you want to discuss potential in-house training or providing expertise on this subject for your projects.