Model risk in the transition to risk-free rates

Transition is an opportunity to reduce multi-rate complexities, say Bakkar and Brigo


The transition from interbank offered rates (Ibors) to new risk-free rates (RFRs) has been heavily debated by policymakers, regulators and market participants over the past few years. It will be a massive undertaking, affecting hundreds of trillions of dollars’ worth of contracts. This will have to be managed carefully to avoid great disruption – not least from a modelling perspective.

Since the financial crisis, derivatives valuation has moved a long way towards incorporating multiple curves

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: