Monday, 26 August 2019

CQF Institute: LIBOR - Don't Fallback, Step Forward

Marc Henrard will speak at the

CQF Institute.

The talk will take place on Wednesday 18 September 2019 in London. The details of the talk can be found on the organizer web site:

Marc's talk, will be titled LIBOR - Don't Fallback, Step Forward.

Talk's overview:
With the expected discontinuation of the LIBOR publication, a robust fallback for related derivatives is paramount. In recent months, several consultations have taken place on the subject. To the author's point of view, the proposals are not satisfactory. In this talk, we describe why the main proposal is not achievable in practice and a fundamental revision of the fallback's foundations is required. The talk will then focus on the value of transfer coming from the adjustment spread computation. Part of the transfer has already taken place and more will take place in the future. The source of the value transfer is analysed. A quantitative analysis of the spreads is provided and compared to recent market movements.

Don't hesitate to reach out if you want to meet after the talk.