LIBOR's Extinction

LIBOR's Extinction
Thought Leadership Webinar: The secular decline in unsecured wholesale funding could become a serious systemic risk: hundreds of trillions of dollars in derivatives gross notional, as well as trillions of dollars of indexed cash interest rate instruments may be imperiled by unreliable IBOR benchmarks. LIBOR, despite major structural improvements by its regulator, the FCA, and its administrator, the IBA, may disappear as soon as 2021.

 

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Webinar Information

Presented By: Prof. Frederic Siboulet
Date: January 9, 2019

Time: 10:00-11:00 am ET
Session Length: 60 minutes

About This webinar

On July 12, 2018, Christopher Giancarlo, Chairman of the CFTC stated that “The discontinuation of LIBOR is not a possibility.  It is a certainty.  We must anticipate it, we must accommodate it and we must adapt to it.”

The financial community regulating, participating, and using these benchmarks has gathered in work groups across major jurisdictions, looking not only for a consensual Alternative Reference Rates (ARRs), but also for a smooth transition plan. The answers and schedules are diverse across currencies, but they are well under way: secured or unsecured rates, overnight only or full forward-looking rate term-structure - each jurisdiction has devised distinct solutions.

The expectation is that the new benchmarks will be based on deep liquid, resilient and sustainable underlying markets, that the existence or the creation of a forward-looking term structure with a derivatives market is a critical success factor, and that ARRs should be practically indistinguishable form a risk-free rate, thereby eliminating the legacy credit risk component of IBORs.

Registration Fee

Sustaining Member $Free | Contributing Member $35 | Non-Member $75

About Our Expert


Frederic is a Managing Director with Deloitte’s Valuation & Modeling practice in New York. Frederic’s expertise spans from the banking book to the trading book: wholesale credit, derivatives pricing, market and credit risk, front to back office processing. His previous experience lies with leading derivatives pricing and risk software vendors: Murex (interest rates, equity derivatives), Front Arena (foreign exchange, fixed income), Algorithmics (enterprise market risk and portfolio credit risk management), FinAnalytica (Expected Shortfall, Convex Linear Optimization). 

He is also a professor of quantitative finance at New York University’s master program of financial and risk engineering, where he teaches derivatives pricing and risk management. 
 

 

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When
1/9/2019 10:00 AM - 11:00 AM
Eastern Standard Time
Where
Thought Leadership Webinar
Online registration not available.

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