WBS 4th Interest Rate Reform (IBOR Transition) Conference

Re-cap
19 Oct 2021 - 21 Oct 2021

This is a 3-day event focusing on the latest developments, challenges and opportunities that lie ahead within quant finance. 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 market.

Quantifi Presentation - Calibrating the SOFR Term Structure and Other Modelling Challenges

Day 3 - 21st October -12:30 BST

Speaker:

Dmitry Pugachevsky, Director, Research, Quantifi

Agenda:

  • Daily compounding and payment in arrears
  • SOFR futures
  • Calibrating SOFR curves
  • SOFR rates for FRN’s and loans
  • Lookbacks and lockouts
  • Challenges for XVA simulations