CAPITAL MARKETS
Beyond IBOR
Successfully manage the risk, analytics, valuations & operational challenges associated with IBOR reform.
Navigate the
IBOR reform
A next-generation, flexible multi-curve framework
The transition away from IBOR represents one of the biggest challenges facing financial services firms and demands a significant transformational effort from market participants. This transformation covers processes, models and systems, including pricing, valuation, risk management and booking. Quantifi’s next-generation IBOR replacement solution supports the construction and calibration of LIBOR replacement curves, offers accurate, extensible analytics and an open architecture that seamlessly integrates with existing systems.
In-depth risk & what-if analysis
Build ESTR & SOFR curves/futures
A multi-curve framework built on modern technology
KEY FEATURES
This is How We Do it
Interest Rate Curve Construction
Construct and calibrate ESTR & SOFR curves and SOFR futures. Match the market with OIS/CSA discounting, basis curves, negative rates & new ARR curves.
Compensation Calculations
Accurately calculate compensation amounts from changing IBOR to ARR to avoid impact on risk measures.
Scenario & What-if Analysis
Analyse the impact of switching a trade from an old reference rate to a new reference rate and support clients in analysing legacy trades.
Cross-Asset Models
Intuitive to Use
Fallback Analysis
Farewell LIBOR, Hello SOFR
Analytical Hurdles & Fixed Income Implications
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WEBINAR RECORDING
Calibrating the SOFR Term Structure
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. Dmitry Pugachevsky, Director – Research, covers SOFR futures, calibrating SOFR curves, lookbacks and the challenges for XVA simulations.
insights
Innovative thinking
Navigating the IBOR Transition
The IBOR reform represents one of the biggest challenges facing financial services firms. Successful management will require significant change and strategic risk management. Preparing for the transition will require firms to establish a strategy to assess the impact and navigate transition risks. Is your firm ready?
Preparing for the IBOR Transition: Technology and Models
This process has revealed a number of challenges for financial markets participants, with many having to rethink their operations and technology infrastructure and adopting new technologies to help with the transition.
The Challenges and Risks of the IBOR Transition
This blog explores the challenges and risks of navigating the IBOR transition and the adoption of alternative reference rates.
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Technology tailored to you
