Marc Henrard will present a seminar at the conference
Planning for the end of LIBOR
organized by Cass Business School in London on Wednesday 19 June 2019. The details of the workshop can be found on the organizer web site:
The event is free, but limited number of places are available. You have to register from the organizer's site referenced above. The registration is now open.
Marc's talk, will be titled LIBOR fallback: a quant perspective. It will be the opening session and will start at 10:00 am.
AbstractWith 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 consultation has been to privilege the compounding setting in arrears and historical mean/median options. We present those options and emphasize their drawbacks. In particular the compounding setting in arrears lack of details and lack of measurability and they would make it not be achievable in practice. We also present an alternative option supported by different working groups. The historical option can lead to significant value transfer, some of them having already taken place.
Don't hesitate to reach out if you want to meet during the workshop.