Post-Libor: How to manage risks and seize opportunities in a changing environment

The panel

  • 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
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