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.