A Quant Opinion on LIBOR Fallback

12 Pages Posted: 19 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: March 1, 2019

Abstract

Our main take-away is that the selected options are not easy to implement. In some sense, the compounding setting in arrears is not even achievable. The Historical Mean/Median Approach leads to value transfer.

Keywords: LIBOR fallback, benchmarks, opinion, quant

JEL Classification: G13, G14

Suggested Citation

Henrard, Marc P. A., A Quant Opinion on LIBOR Fallback (March 1, 2019). Available at SSRN: https://ssrn.com/abstract=3357483

Marc P. A. Henrard (Contact Author)

muRisQ Advisory ( email )

Rue du Chemin de fer, 8
Brussels, 1210
Belgium

HOME PAGE: http://murisq.com

OpenGamma ( email )

Albert House
256-260 Old Street
London, EC1V 9DD
United Kingdom

University College London - Department of Mathematics ( email )

Gower Street
London, WC1E 6BT
United Kingdom

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