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.