Tuesday, 26 May 2020

Marc's presentation at the Online Interest Rate Reform Conference

Marc Henrard will present a seminar at the

Online Interest Rate Reform Conference

which will take place from Monday 13 July to Friday 17 July 2020. The agenda of the conference can be found on the organizer web site:

Marc's talk, will be titled Discounting Big-Bang: Quant Perspective and Convexity Adjustments.


  • Collateral and discounting big-bang process
  • Valuation impacts: theoretical clean process
  • Valuation impacts: practical dirty process
  • Transition and convexity adjustments

Note added 2020-08-18: The developments underlying the presentation are detailed in a paper that has been accepted for publication in Risk.Net.