Podcast: Mercurio on Libor, fraud and writing models on a plane

Ahead of the publication of his seventeenth Risk paper, The present of futures, Fabio Mercurio, global head of quant analytics at Bloomberg in New York, told us he is looking forward to working in a post-Libor financial world.

While remembering with a bit of nostalgia the years of modelling complex derivatives, he thinks rates quants such as himself will be having fun developing new models for interest rate derivatives that will be necessary considering the co-existence of Libor, OIS, SOFR and possibly other rates.

Beyond rates, he expects capital optimisation, model risk management and fraud detection to be among the areas where research will intensify in the near future.

Of course, he also introduces his multi-curve framework for pricing futures with convexity adjustments, and the concept of minimal Libor-OIS basis volatility.

Index

00:00 Intro

07:00 ‘The present of futures”

12:50 Libor reform and new benchmark rates

19:02 Post-Libor legacy contracts

23:13 What’s next in quant finance…

29:45 … and what’s buried in the past

To hear the full interview, listen in the player above, or download. Future podcasts in our Quantcast series will be uploaded to Risk.net. You can also visit the main page here to access all tracks or go to the iTunes store to listen and subscribe.