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

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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 […]

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