LIBOR Fallback: A Quantitative Perspective (Quant Summit Presentation Slides)

27 Pages Posted: 3 Jun 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 6, 2019

Abstract

Slides from the presentation at the Quant Summit 2019.
Agenda:
- The current status of the fallback improvements
- Potential difficulties with the proposed compounding in arrears option
- Value transfer in the fallback
- The RFR term rates

Keywords: LIBOR fallback, Quant Summit, compounding in-arrears, value transfer

JEL Classification: G13, G15, G18, C51

Suggested Citation

Henrard, Marc P. A., LIBOR Fallback: A Quantitative Perspective (Quant Summit Presentation Slides) (March 6, 2019). Available at SSRN: https://ssrn.com/abstract=3387458 or http://dx.doi.org/10.2139/ssrn.3387458

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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