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LIBOR - Don't Fallback, Step Forward
Attend live in London or online

Wednesday, 18th September  2019

This talk will be led by Dr. Marc Henrard, Managing Partner, muRisQ Advisory and Visiting Professor, University College London

With the expected discontinuation of the LIBOR publication, a robust fallback for related derivatives is paramount. In recent months, several consultations have taken place on the subject. To the author's point of view, the proposals are not satisfactory. In this talk, we describe why the main proposal is not achievable in practice and a fundamental revision of the fallback's foundations is required. The talk will then focus on the value of transfer coming from the adjustment spread computation. Part of the transfer has already taken place and more will take place in the future. The source of the value transfer is analysed. A quantitative analysis of the spreads is provided and compared to recent market movements.

Speaker Bio
Over the last 20 years, Marc has worked in various areas of quantitative finance including risk management, trading, software development and quantitative research. He is Head of Quantitative Research at OpenGamma and prior to that was Head of Interest Rate Modeling for Dexia Group, Deputy Head of Treasury Risk at the Bank for International Settlements (BIS) and Head of Quantitative Research and Head of Interest Trading also at BIS.

Marc's research focuses on interest rate modeling. More recently he focused his attention to market infrastructure (initial margin, product design, quantitative impacts of regulation, LIBOR fallback). He is the author of two books: The Multi-Curve Framework: Foundation, Evolution, Implementation and Algorithmic Differentiation in Finance Explained. Marc holds a PhD is Mathematics from the University of Louvain, Belgium.


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