Workshop: The future of LIBOR:
Quantitative perspective on benchmarks, overnight, fallback and regulation
Typical Course Agenda:
- EU Benchmark regulation
- The “alternative” benchmarks
- SOFR, reformed SONIA, ESTER, SARON, TONAR
- Secured v unsecured choice
- What about term rates?
- Curve calibration
- SOFR and EFFR: two overnight rates in one currency!
- Status in different currencies. Cleared OTC products, liquidity. The different consultations in progress and what to expect from them.
- Fallback procedure
- ISDA consultation
- The different options for the “adjusted rate”
- The different options for the “adjustment spread”
- Quantitative impacts: convexity adjustments and risk
- Clearing house adoption
- New products associated to new benchmarks
- Futures on overnight benchmarks
- Deliverable swap futures
Detailed lecture notes provided to participants.
Tools to measure the impact in term of risk and valuation on swap portfolios available.
Presenter: Dr. Marc Henrard, Managing Partner
Marc Henrard is a managing partner at muRisQ Advisory and visiting professor at University College London.
Over the last 20 years, Marc has worked in various areas of quantitative finance. His experience covers management positions in risk management, trading, software development, and quantitative research. Marc’s career includes Head of Quantitative Research at OpenGamma, Global Head of Interest Rate Modeling for Dexia Group, Deputy Head of Treasury Risk at the Bank for International Settlements (BIS) and Head of Quantitative Research and Deputy Head of Interest Rate Trading also at BIS.
Marc’s research focuses on interest rate modeling, risk management and their efficient implementation. More recently he focused his attention to market infrastructure (CCP and bilateral margin, exchange traded product design, regulatory costs). He publishes on a regular basis in international finance journals, and is a frequent speaker at academic and practitioner conferences (more than 50 appearances since 2000). He recently authored two books: The multi-curve framework: foundation, evolution, implementation and Algorithmic Differentiation in Finance Explained.
Marc holds a PhD in Mathematics from the University of Louvain, Belgium. He has been research scientist, university lecturer and visiting professor in Belgium, Italy, Chile and the United Kingdom.
Some of his recent publications in quantitative finance can be found on his SSRN Author page.
More information: http://murisq.blogspot.com/
LIBOR Workshop only
- DKK 250 for Network members
- DKK 850 for Premium members
- DKK 1250 for Basis members
- DKK 2500 for non-members
Risk Conference + LIBOR Workshop
- DKK 250 for Network members
- DKK 1250 for Premium members
- DKK 1800 for Basis members
- DKK 3250 for non-members
Risk Conference + Operational Risk + LIBOR Workshops
- DKK 500 for Network members
- DKK 2100 for Premium members
- DKK 3000 for Basis members
- DKK 5000 for non-members