Calibrating the SOFR Term Structure & Other Modelling Challenges
With the increased expectation of some IBORs discontinuation and the increasing regulatory requirements related to benchmarks, a more robust fallback provision and a clear transition plan for benchmark-linked derivatives is becoming paramount for the interest rate.

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.

Agenda

  • 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​

Speaker

  • Dmitry Pugachevsky, Director – Research, Quantifi

View Video

insights

Navigate major trends & developments shaping the industry

Whitepapers

The IBOR Transition: Challenges and the Road Ahead

Operational readiness is specific to each institution and has to be complemented by technological and regulatory developments and fine-tuned to the ongoing changes in market infrastructure.

Blog

Preparing for the IBOR Transition: Technology and Models

The IBOR transition impacts almost every part of the financial services industry including banking, capital markets, insurance and asset management. The imminent retirement of IBOR has forced financial institutions to conduct an end-to-end inventory of IBOR exposure. This should cover the full range of processes, models and systems, including pricing, valuation, risk management and booking. […]

Blog

Survey: How are Firms Navigating the IBOR Transition?

Interbank Offer Rates (IBOR) play a pivotal role in the functioning of financial markets. The transition away from IBOR represents one of the biggest challenges facing financial services firms. The reform has been ongoing for more than two years, during which market-infrastructure providers, regulators, buy- and sell-side firms, and trade associations have been assessing and […]

Let's Talk!

Speak with one of our solution experts
Loading...