Singapore Management University
on Monday 8 April in Singapore. The details of the seminar and registration can be found on SMU website:
Marc's talk, will be titled A quant perspective on LIBOR fallback.
Talk's summary:
With
the increased expectation of some IBORs discontinuation and the
increasing regulatory requirements related to benchmarks, a more robust
fallback provision for benchmark-linked derivatives is becoming
paramount for the interest rate market. Several options for such a
fallback have been proposed and ISDA held a consultation on some of
them.
The
results of the ISDA consultation has been to select the "compounding
setting in arrears" adjusted rate and the "historical mean/median"
spread approach. We analyse the proposed option in details and present
an alternative option supported by different working groups. The
presentation focuses is on the quantitative finance impacts for
derivatives.
Don't hesitate to reach out if you want to meet at the seminar.