
Libor webinar playback: spotlight on derivatives
Panellists from Deutsche Bank, LCH, Numerix and Tradeweb on transition timelines, volatility and discounting
The panel
- Duncan Wood, editorial director, Risk.net
- Ales Lipensky, head of derivatives funding, Deutsche Bank
- Philip Whitehurst, head of rates service development, LCH
- Ping Sun, senior vice-president, Numerix
- Simon Maisey, managing director, head of global corporate development, Tradeweb
The next 12 months will determine how rates markets cope with the death of Libor.
With transition efforts now entering their critical phase, Risk.net’s editorial team is running a series of quarterly webinars, breaking down the issues facing the market, tracking the progress made and highlighting the remaining questions.
After sessions on loans and bonds, the third webinar, on March 25, focused on the derivatives markets. Subscribers can replay the webinar above.
The discussion starts by asking whether the transition timeline should be extended, given the vast workload associated with Covid-19 continuity efforts, before moving on to the volatility that has followed the spread of the virus. This year’s planned changes to discounting rates for cleared derivatives – the first switches are due in June – are also covered, eliciting some sharp audience questions. Pre-cessation is briefly mentioned at the end of the session.
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Derivatives
CDS auction-rigging lawsuit set to proceed
US judge clears way for case in which pension funds allege dealers manipulated CDS settlements
Barclays retools inflation desk with two senior hires
UK bank raids Deutsche Bank and JP Morgan for new regional heads
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented
GFXC fosters global awareness of T+1 impact on FX
Risk Live: Many non-US firms yet to realise FX implications of the country’s shift to shorter settlement times
Simm’s first off-cycle rejig hits non-cleared rates
Recalibration lifts initial margin for some products by 37% after year-end volatility forces update
A three-point turn in derivative design
Citibank quant’s triangle method allows information geometry to be applied to hedge structuring
One strike and they’re out: traders threaten liquidity stoppage
PTFs vow to withdraw from Treasuries market in protest at SEC registration plans
Collateral markets in need of rewiring
New data suggests a tech upgrade is needed to avoid a large central bank footprint in markets