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.
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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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