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Benchmarks in Transition (LIBOR and Overnight)

Presented By: Dr Marc Henrard, Managing Partner at muRisQ Advisory

18th May 2021 13:00 - 17:00 BST & 19th May 2021 13:00 - 17:00 BST 

Workshop Overview

IBOR and overnight benchmarks are in transition. The legal aspect of the transition has been widely discussed but its quantitative aspect has been neglected, even if it is far reaching. This workshop will review those aspects, including the value transfers, the impact on market risk management, the alternatives, the incoherences between markets, and the many hidden adjustments. The depth of analysis in this workshop will go well beyond what is usually available in official documents.

Download the full workshop outline here

Tutor Bio

Dr. Marc Henrard is Managing Partner at muRisQ Advisory and Visiting Professor at University College London.

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 also Head of Quantitative Research at OpenGamma and prior to that was Head of Interest Rate Modelling for Dexia Group, Deputy Head of Treasury Risk at the Bank for International Settlements (BIS) and Head of Quantitative Research and Deputy Head of Interest Rate Trading also at BIS.

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


Price: £995 + VAT 

This price entitles you access to both days of the workshop.

Discounts:

CQF Alumni: 20%

CQFI Members: 10%

If you are eligible for a discount code please email the Team