A Quant Opinion on LIBOR Fallback
12 Pages Posted: 19 Apr 2019
Date Written: March 1, 2019
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: Suggested Citation