LIBOR Transition

With the increased expectation of some LIBORs discontinuation, the overnight benchmark changes and the increasing regulatory requirements related to benchmarks, a clear quantitative finance perspective on the impacts for benchmark-linked derivatives is becoming paramount.

Financial institution and the end-users of interest rate derivatives face many challenges when navigating through those changes and their impacts. The impacts are far reaching and relate to not only to the legal and operational issues but also to pricing, risk, modelling, validation and implementation in systems.

muRisQ Advisory has an extensive experience related to benchmarks and LIBOR transition. We have published on the subject since more than 2 years and have modeled and implemented the impacts in theory and in practice. We have been guest speaker at major academic and practitioner conferences in the last 18 months (see list at the bottom of the page).

We help institutions in this regards in several ways:

Technical workshops

  • Public workshops. Planned next presentations: WBS Interest Rate Reform conference (London, 4 March 2020), WBS Interest Rate Reform conference (Frankfurt, 26 March 2020), QuantMinds (Amsterdam, 15 May 2020)
  • In-house tailor-made workshops on the quantitative finance impacts (valuation, risk, value transfer, model validation, new instruments). Typical agenda available on our training page.

Independent impact assessment

  • We use our own production grade systems developed over the last years
  • Run existing different hypothesis for fallbacks and spreads on exiting portfolios
  • Analysis of re-papering and protocols impacts, cost of protocol signature
  • Analysis of value transfer on actual portfolios

Implementation advisory

  • Support of quantitative analysis and risk groups in implementation (based on more than two years of internally developed research and systems)
  • New models development
  • Senior stakeholder support
  • New exchange traded products development
  • Reduction of existing exposure
  • Support for negotiation with counterparties



Some publications related to benchmarks:
  • LIBOR: Don't fallback, step forward. Wilmott Magazine, 2019(104): 24–-35, November 2019. 
  • SOFR discounting transition: multi-curve and quantitative perspective. Market infrastructure analysis, muRisQ Advisory, October 2019. Available at http://ssrn.com/abstract=3478769.
  • Answer to ``Consultation on Final Parameters for the Spread and Term Adjustments in Derivatives Fallbacks for Key IBORs'' issued by ISDA. October 2019. Available at https://ssrn.com/abstract=3476530.
  • LIBOR fallback and quantitative finance. Risks, 7(88), August 2019. Open Access article available at https://doi.org/10.3390/risks7030088.
  • Answer to ``Supplemental Consultation on Spread and Term Adjustments for Fallbacks in Derivatives Referencing USD LIBOR, CDOR and HIBOR and Certain Aspects of Fallbacks for Derivatives Referencing SOR'' issued by ISDA. July 2019. Available at https://ssrn.com/abstract=3415930.
  • A Quant Perspective on IBOR Fallback consultation results. Market infrastructure analysis, muRisQ Advisory, January 2019. Available at http://ssrn.com/abstract=3308766.
  • LIBOR Fallback transformers! Market Infrastructure blog, muRisQ Advisory, October 2018.
    Available at https://murisq.blogspot.com/2018/10/libor-fallback-transformers.html.



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 workshop lecturer, guest speaker or expert panelist at the following events: