- Liang Wu, Vice-president of financial engineering, Numerix
- Philip Whitehurst, Head of service development rates, SwapClear, LCH
- Edward Ocampo, Former senior adviser, Bank of England
- Jasper Lillingston, Director, Treasury, European Bank for Reconstruction and Development
- Moderator: Helen Bartholomew, Editor-at-large, Risk.net
Libor is a cornerstone of today’s financial industry, underpinning an estimated $350 trillion in contracts. The size, scale and scope of Libor usage makes the transition to a post-Libor world by 2021 arguably one of the biggest challenges facing financial firms.
This webinar provides a critical understanding of Libor’s current status, the transition, building curves, valuation and modelling, and advancing technology to prepare for market changes.
Key topics discussed:
- The current status of the risk-free rate (RFR) transition plan and how market participants are using RFRs
- How market participants can prepare for and manage a forced transition via fallback language
- The best approach to building curves in less liquid RFR markets and what additional risk management measures are required
- How and when RFR liquidity can reach critical mass
- The impact of shifting from liquid Libor to less liquid RFRs and how will that will impact derivatives pricing
- The wider impacts of losing a rate that is so prevalent in valuation, risk and forecasting models
- A checklist for systems upgrades – the size of the IT challenge and what changes firms need to make