Following the request by several clients, we have developed a training/workshop around the new benchmarks and the LIBOR fallback. A typical agenda of the course is presented below.
- Cash-collateral discounting.
- The standard collateral results and their exact application.
- What is hidden behind OIS discounting (and when it cannot be used)?
- Impact of new benchmarks on valuation
- EU Benchmark regulation
- The``alternative'' benchmarks:
- Progress in different jurisdictions
- SOFR, reformed SONIA, ESTER, SARON, TONAR.
- Secured v unsecured choice.
- What about term rates?
- Curve calibration
- SOFR and EFFR: two overnight rates in one currency!
- Status in different currencies. Cleared OTC products, liquidity. The different consultations in progress and what to expect from them.
- Fallback options
- ISDA consultation
- The different options for the "adjusted rate"
- The different options for the "adjustment spread"
- Quantitative impacts: convexity adjustments and risk
- Clearing house adoption
- Risk management of transition.
- Risk impacts
- Potential impacts on systems
- What a risk solution would look like?
- Multi-curve: double or quit?
- Interest rate modelling
- New products associated to new benchmarks
- Futures on overnight benchmarks
- Deliverable swap futures
The training is usually proposed as a one-day program.
Don't fallback, step forward!
Contact us for our LIBOR fallback training and quant solutions.
Other course proposal available on our Training Page.