Marc Henrard will present a workshop at
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