Much of the energy sector remains wedded to the use of Libor when discounting swaps, long after many other big derivatives users switched to overnight indexed swap (OIS) rates – a situation one energy industry veteran described as “a big mess”.
“Right now what we have is a mess,” said Vincent Kaminski, professor at Rice University’s Jesse H Jones Graduate School of Management. “There are some institutions that are using OIS. There are some institutions that are using Libor. There are some ins
The week on Risk.net, April 7–13, 2018Receive this by email