Benchmarks in Transition - Webinar Slides

89 Pages Posted: 6 May 2020 Last revised: 26 May 2020

See all articles by Marc P. A. Henrard

Marc P. A. Henrard

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

Date Written: April 4, 2020

Abstract

Slides of the webinar on benchmark transition. Described why a transition is required, the transition in overnight benchmarks and the LIBOR fallback plans.

Keywords: Interest Rate Modelling, benchmarks, LIBOR, fallback, discounting, value transfer

JEL Classification: G13, G15, G23, K12

Suggested Citation

Henrard, Marc P. A., Benchmarks in Transition - Webinar Slides (April 4, 2020). Available at SSRN: https://ssrn.com/abstract=3568503

Marc P. A. Henrard (Contact Author)

muRisQ Advisory ( email )

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University College London - Department of Mathematics ( email )

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