Course: Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements (2)

Marc Henrard will present the course

Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements

in New York on 1-2 October 2018.

The course details can be seen on the London Financial Studies web site at https://www.londonfs.com/programmes/interest-rate-modelling/Overview/

Course: Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements

Marc Henrard will present the course

Interest Rate Modelling in the Multi-curve Framework: Collateral and Regulatory Requirements

in London on 24-25 September 2018.

The course details can be seen on the London Financial Studies web site at https://www.londonfs.com/programmes/interest-rate-modelling/Overview/

Market infrastructure: A quant perspective on IBOR fallback proposals

A new note in the series Market infrastructure developments analysis is now available on SSRN. The note, titled

A quant perspective on IBOR fallback proposals

is written by Marc Henrard

Abstract

With the increased expectation of some IBORs discontinuation and the increasing regulatory requirements related to benchmarks, a more robust fallback provision for benchmark-linked derivatives is becoming paramount for the interest rate market. Several options for such a fallback have been proposed. This note describes and analyses some of those options. The focus is on the quantitative finance impacts. None of the options that have been proposed fits all of the criteria for a good fallback provision. It appears that some of the options that have gained traction failed even the achievability criterion. The note concludes with the author's personal preference.

The note is available on SSRN: http://ssrn.com/abstract=3226183

IBOR Global Benchmark Transition Report

ISDA has published an IBOR Global Benchmark Transition Report. The report is available at : https://www.isda.org/2018/06/25/ibor-global-benchmark-transition-report/ 

The survey on which the report is based indicates that there is a general market awareness regarding the transition and that market participants are starting to prepare. Nevertheless, less than a quarter of the survey participants have started concrete steps in that direction.

Don't hesitate to contact us regarding IBOR and benchmark transition. We have worked intensively on related issue for several years. We provide to our clients a rapid access to the foundations on which to build their added value.

Our services include expertise and tools on valuation issues and senior staffing for our clients to initiate their program from a quantitative point of view. We also have a long experience in executive education and technical workshops.

Working paper: Variation margin in presence of trade cash flows

A new working paper by Marc Henrard is now available on SSRN. The title of the paper is

Variation margin in presence of trade cash flows

With the generalisation of Variation Margin (VM) collateral, the derivative world is not driven anymore by discrete cash flows but by continuous dividend. Due to practical constraints, the VM is paid with a one day delay. This delay reduces significantly the effectiveness of the margin process as credit risk exposure reduction around the trade cash flow payments. This note presents an efficient and simple approach to bring back the effectiveness of the VM process even around trade flows dates. The approach is based on the usage of a forward valuation in the VM computation process.

The paper is available on SSRN: https://ssrn.com/abstract=3154329

New working paper: overnight futures

A new working paper by Marc Henrard is now available on SSRN. The title of the paper is

Overnight Futures: Convexity Adjustment

The paper describes the pricing, including the convexity adjustment, of the a new overnight benchmark based futures in the collateral framework using a Gaussian HJM-like model. This new type of futures will soon start trading on CME for USD futures on SOFR and on CurveGlobal for GBP futures on SONIA.

The paper is available on SSRN at https://ssrn.com/abstract=3134346

Workshop on Regulation, collateral, and the multi-curve framework

Marc Henrard will be presenting a workshop on "Regulation, collateral, and the multi-curve framework" at the University of Leuven on December 7 and 8.

The home page of the workshop is

https://wis.kuleuven.be/events/workshop-henrard/home

In development

The advisory firm

muRis_Q Advisory

is in development.