Calibrating the SOFR Term Structure & Other Modelling Challenges

The current global reform of interest rate benchmarks is radically changing the status quo, with important consequences for pricing and risk management of financial instruments.

This recording was taken from the WBS 4th Interest Rate Reform (IBOR Transition) Conference, a 3-day event focusing on the latest developments, challenges and opportunities that lie ahead within quant finance.






  • SOFR futures
  • Calibrating SOFR curves
  • SOFR rates for FRN’s and loans
  • Lookbacks and lockouts
  • Challenges for XVA simulations
  • Key trends and opportunities in credit​


  • Dmitry Pugachevsky, Director - Research, Quantifi