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FINCAD Workshops Cover Curves, Valuation and the End of Libor

Libor discontinuation is an issue that continues to be top of mind for investors. Quickly approaching, the 2021 Libor phaseout will require a transition to alternative benchmarks, such as SONIA, €STER and SOFR. However, despite this being a huge deal, much of the industry remains unprepared to meet the change.

To help our peers get a better handle on the transition, FINCAD recently held an interactive workshop: Transitioning from Libor to a new RFR – Markets, Curves and Valuation. The workshop was held in FINCAD’s London office, located in the heart of the financial district. And, in fact the event was so popular that we had to run a second session the following week!

At the informal workshops, we talked through key curve-building and valuation challenges to consider as firms switch over to the new risk-free-rates (RFR’s). Attendees had the opportunity to listen to the views of FINCAD’s subject matter experts and engage in lively discussions. In the video above, you can get an idea of the kind of material we covered.

The picture below shows attendees of the first workshop listening to my presentation on preparing for the end of Libor. To kick things off, I explained the impetus behind the Libor- focused theme we chose to cover. A survey conducted by FINCAD in Spring 2019 questioned respondents on the largest problems they foresaw with the Libor transition. The top three areas indicated were: 1) valuation, 2) hedging and risk management, and 3) multi-curve construction. Thus, discussions of the evening centered around these three key areas of interest.

Overall, the Libor workshop was a great opportunity for individuals concerned about the upcoming Libor phase-out to come together, talk through their concerns and learn some useful coping mechanisms. Some valuable discussions took place around the way forward in the absence of Libor. It was also a great opportunity for like-minded individuals to get together and network in a casual setting—with everyone’s favorite pizza and beer at hand! 

Would you like to attend a FINCAD workshop on Libor and/or other key topics in derivatives and finance?

If so, be sure to check back with our Events webpage regularly. There we will post the latest information on our upcoming workshops and other special events. 

About the author

Daniele Colarossi's picture

Daniele Colarossi

Associate Quantitative Developer , FINCAD

Daniele Colarossi is an associate quantitative developer based in FINCAD’s London office. He began his FINCAD career on the Professional Services team, where he gained experience in financial engineering and derivatives pricing. Daniele is now part of FINCAD’s Pre-Sales team where he works on designing solutions to fit prospects’ needs.

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