Wednesday, 17 February 2021

Presentation at the Interest Rate Reform Conference

Marc Henrard will present a seminar at

The 3rd Interest Rate Reform (Ibor Transition) Conference

which will take place on-line from Monday 22 February to Friday 26 February 2021. The agenda of the conference can be found on the organizer web site:

Marc's talk will take place on Wednesday 24 November at 13:00 GMT and will be titled Benchmarks in transition: Hidden convexities.


  • Overnight transition: why is it important to everybody?
  • Overnight transition: where does it appear?
  • Modelling approach
  • Impact on OIS
  • Impact on Swaptions
  • Impact on LIBOR forwards

The proprietary research underlying the presentation will be detailed in a forthcoming working paper. The link to the paper will be added soon.