Answer to 'Consultation on Certain Aspects of Fallbacks for Derivatives Referencing GBP LIBOR, CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR and BBSW' Issued by ISDA
8 Pages Posted: 2 Apr 2019
Date Written: October 5, 2018
This note is an answer the consultation published by ISDA regarding the amendment of documentation to implement fallbacks for certain key IBORs. The answers refer to many technical issues. More details about those issues can be found in the technical note 'A quant perspective on IBOR fallback proposals'.
Keywords: IBOR Fallback, ISDA Master Agreement, Interest Rate Modelling
JEL Classification: G13, G15, G23, K12
Suggested Citation: Suggested Citation