Tuesday, 24 August 2021

Workshop at the 4th Interest Rate Reform Conference - 19 October 2021


Marc Henrard will present a workshop at

The 4th Interest Rate Reform (Ibor Transition) Conference

which will take place on-line from Tuesday 19 to Thursday 21 October 2021. The agenda of the conference can be found on the organizer web site:

Marc's workshop will take place on Tuesday 19 October from 13:00 to 17:00 and will be titled  

LIBOR transition: almost there and so much to do for quants.


  • Liquidity in ESTR, SONIA and SOFR
  • Multiple fallbacks, multiple market risks, one spread to rule them all!
  • ISDA fallback spreads v recent LIBOR/SOFR data
  • USD: alternatives to SOFR - AMERIBOR, BSBY, ICE BYI, AXI, CMT
  • Hidden issues