Wednesday, 8 April 2020

Benchmarks in transition videos: Episode 4.a - CCP big bang - EUR

With the increased expectation of some IBORs discontinuation, the overnight benchmark changes and the increasing regulatory requirements related to benchmarks, a clear quantitative finance perspective on the impacts for derivatives is becoming paramount.

We have created a series of introductory videos on the subject of benchmark transition. The videos are available on our Youtube channel.

The fourth episode (part a) describes the PAI and discounting big bang at CCPs for EUR.

All the videos will be linked in our LIBOR transition page.