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). Our answers to the different ISDA consultations are also available on SSRN. 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 documented from the invitations to many practitioner and academic finance conferences and seminars. 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
- CASS Business School workshop on LIBOR transition (London, UK) - 19 June 2019
- Risk Live (organized by Risk.Net, London, UK) - 27 June 2019
- LIBOR: Don't fallback, step forward (CQF Institute talk, London, UK) - 23 September 2019
- CCP round-table (organized by Risk Dynamics, Brussels, Belgium) - 10 October 2019
- The 15th Quantitative Finance Conference (organized by WBS, Rome, Italy) - 16 October 2019.
- The 5th Quant Insights Conference (organized by CQF Institute and Wilmott, London, UK) - 15 November 2019.
- The future of LIBOR (workshop at RiskMinds International, Amsterdam, Netherlands) - 6 December 2019
- Interest rate reform conference (organized by WBS, London, UK) - 4-6 March 2020
- QuantSummit Europe (organized by Risk.Net, London, UK) - 11-12 March 2020
- Interest rate reform conference (organized by WBS, Frankfurt, Germany) - 26-27 March 2020
- QuantMinds International (Hamburg, Germany) - 11-15 May 2020
Don't hesitate to contact us if you want to discuss potential in-house training or providing expertise on this subject for your projects.