Course: Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements (2)

Marc Henrard will present the course

Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements

in New York on 1-2 October 2018.

The course details can be seen on the London Financial Studies web site at https://www.londonfs.com/programmes/interest-rate-modelling/Overview/

Course: Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements

Marc Henrard will present the course

Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements

in London on 24-25 September 2018.

The course details can be seen on the London Financial Studies web site at https://www.londonfs.com/programmes/interest-rate-modelling/Overview/

Market infrastructure: A quant perspective on IBOR fallback proposals

A new note in the series Market infrastructure developments analysis is now available on SSRN. The note, titled

A quant perspective on IBOR fallback proposals

is written by Marc Henrard

Abstract

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. This note describes and analyses some of those options. The focus is on the quantitative finance impacts. None of the options that have been proposed fits all of the criteria for a good fallback provision. It appears that some of the options that have gained traction failed even the achievability criterion. The note concludes with the author's personal preference.

The note is available on SSRN: http://ssrn.com/abstract=3226183