Moving from IBORs to Alternative Risk Free Rates

8 Pages Posted: 29 Jan 2021

See all articles by Veronica Falco

Veronica Falco

affiliation not provided to SSRN

Marco Bianchetti

Intesa Sanpaolo - Financial and Market Risk Management; University of Bologna; AIFIRM - Associazione Italiana Financial Industry Risk Manager

Umberto Cherubini

University of Bologna - Department of Economics

Date Written: December 31, 2020

Abstract

In this short note we briefly review the state of the art of the ongoing transition from interbank rates (IBORs) to alternative risk free rates, with a focus on LIBOR and EUR benchmark rates. This note is a reduced version of a position paper published in December 2019 [1], reporting more details regarding the impacts of the transition on Bank’s internal processes, updated to December 2020.

Keywords: IOSCO, FSB, ECB, EMMI, IBA, BMR, LIBOR, EURIBOR, EONIA, €STR, Benchmark Rate, Interest Rate, Risk-Free Rate, Overnight Rate, Discounting

JEL Classification: E43, G15, G18

Suggested Citation

Falco, Veronica and Bianchetti, Marco and Cherubini, Umberto, Moving from IBORs to Alternative Risk Free Rates (December 31, 2020). Available at SSRN: https://ssrn.com/abstract=3757940 or http://dx.doi.org/10.2139/ssrn.3757940

Veronica Falco

affiliation not provided to SSRN

Marco Bianchetti (Contact Author)

Intesa Sanpaolo - Financial and Market Risk Management ( email )

Piazza P. Ferrari 10
Milan, 20121
Italy

University of Bologna ( email )

Piazza Scaravilli 2
Bologna, 40100
Italy

AIFIRM - Associazione Italiana Financial Industry Risk Manager ( email )

www.aifirm.it
Italy

Umberto Cherubini

University of Bologna - Department of Economics ( email )

Strada Maggore, 45
Bologna, FI 40125
Italy
+ +39 051 2092615 (Phone)

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