Monday 25 March 2019

Seminar at Singapore Management University

Marc Henrard will present a seminar at the

Singapore Management University

on Monday 8 April in Singapore. The details of the seminar and registration can be found on SMU website:

Marc's talk, will be titled A quant perspective on LIBOR fallback.

Talk's summary:

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 and ISDA held a consultation on some of them.
The results of the ISDA consultation has been to select the "compounding setting in arrears" adjusted rate and the "historical mean/median" spread approach. We analyse the proposed option in details and present an alternative option supported by different working groups. The presentation focuses is on the quantitative finance impacts for derivatives.

Don't hesitate to reach out if you want to meet at the seminar.

Thursday 21 March 2019

QuantCast on Risk.Net

New QuantCast on Risk.Net starring

Mercurio and Henrard on Libor transition and the need to involve quants early in discussions

Some of the elements of the discussion are based on an opinion published on SSRN: A Quant Opinion on LIBOR Fallback.

Marc Henrard in's London studio
Photo: Iain Winfield

Tuesday 19 March 2019

Risk.Net Podcast: LIBOR transition and fallback

Today Marc Henrard participated to a Risk.Net podcast related to LIBOR transition and fallback. The podcast will be published later this week on the publisher site. We will keep you posted about its publication.

Saturday 16 March 2019

IBOR transition and fallback trainings and workshops

In-house tailor-made training for all your team and your IBOR transition working group for the price of sending 2 of them to a standard training! The IBOR transition and fallback is a hot topic. Many course provider have jumped on the bandwagon. Those courses are provided at a premium price but with some speakers presenting for marketing purposes.

For the price of sending two staff members to those courses, you can have full in-house training from our experts that have analysed the subject for more than a year, participated to its consultations and done production-grade implementations. It is not a free lunch but certainly a relative value arbitrage opportunity! You invest less and you get more.

A typical agenda for such a course can be found on our training page. And as always, the course will be tailor-made to your specific requirements.

We are an (fiercely) independent management-owned advisory firm and our trainings reflect that independence. We don't have hidden agenda and are free of conflict of interest. All courses are backed by research and detailed in lecture notes provided to the participants. Part of the material of those trainings is used for a course in a master program in financial mathematics (Marc teaches a course on Interest rate modelling in the multi-curve and collateral framework at UCL).

Below is a graph representing the analysis of the USD-LIBOR-3M, SOFR and EFFR compounded. This is the type of analysis which forecast the almost 10 basis points in spread since 27 November 2018 (announcement date of the fallback methodology).

Don't fallback, step forward!

Contact us for our LIBOR fallback quant solutions.

Saturday 9 March 2019

Fallback compounding in arrears won't work

Our research on the LIBOR fallback, presented by Marc Henrard at the Quant Summit this Wednesday, has been noticed by the magazine Other experts now acknowledge that the option selected by ISDA through its consultation in November won't work in practice for some instruments. The details of our research can be found in one of our previous blogs on A quant perspective on IBOR fallback consultation results.

The magazine article can be found on (subscription required) under the title

FRAs won’t work with standard Libor fallback, experts say

Don't fallback, step forward!

Contact us for our LIBOR fallback quant solutions.