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.