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

See all articles by Marc P. A. Henrard

Marc P. A. Henrard

muRisQ Advisory; OpenGamma; University College London - Department of Mathematics

Date Written: October 5, 2018

Abstract

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

Henrard, Marc P. A., 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 (October 5, 2018). Available at SSRN: https://ssrn.com/abstract=3349755 or http://dx.doi.org/10.2139/ssrn.3349755

Marc P. A. Henrard (Contact Author)

muRisQ Advisory ( email )

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OpenGamma ( email )

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University College London - Department of Mathematics ( email )

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