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CFA NY Panel Discusses Modeling Implications for Libor Cessation
I recently had the opportunity to participate in a panel for CFA Society NY, as part of their Libor Transition Series. Conversation centered on “Modeling Implications for Replacement Rates for Libor.” I was in good company with host, Peter Went, PhD, lecturer at Columbia University, Fabio Mercurio, Global Head of Quantitative Analytics at Bloomberg, and Agha Mirza, Managing Director and Global
CFA_Libor_Panel
FINCAD and PRMIA to Hold Libor Event in London
Benchmark reform may be the biggest delta to impact the financial markets since the 2008 financial crisis. Libor, the most widely used interest rate benchmark, is referenced by more than $200 trillion in financial products across the globe. Indeed the anticipated phase out of Libor by 2021 is creating a great deal of uncertainty for affected firms. As such, FINCAD and PRMIA will come together to
September 17, 2019
Blog
FINCAD to Launch Complimentary Workshop Series
Would you like to expand your knowledge of key topics in derivatives finance—all in an informal and interactive setting? Then you might want to check out one (or all) of FINCAD’s upcoming workshops. In the coming months, we will be holding a series of complimentary workshops, where we will explore: Python use and best practices, the impact of the end of Libor and how to cope, cashflow, LDI and ALM
September 6, 2019
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FINCAD to Hold Breakfast Briefing on the €STR, SOFR and SONIA Transition
The impending phase out of the key benchmark rate, Libor, will bring major changes to discount and forward rates in many countries and regions. In fact, all firms with interest rate exposures will be affected by the transition away from Libor to some extent. For those companies that trade in many different currencies and instrument types, the change will have an even greater impact. In an effort
September 5, 2019
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Using the Basis Swap Markets to Prepare for Libor’s End
Do you have interest rate swaps with exposure to Libor fixings beyond 2021? If so, you may have cause for concern. Valuing these positions requires published Libor fixings, and after 2021 Libor is likely to be discontinued. The reality is that these fixings may never arrive. When we reach the point where Libor is no longer published, this will immediately trigger fallback clauses in the existing
August 22, 2019
Blog
How Python Makes Data Science More Accessible
The use of the infinitely flexible programming language, Python, is taking off within Finance. In fact, Python is increasingly being used by leading hedge funds and other financial institutions as their multi-purpose tool of choice. And now there is an extensive ecosystem with numerous Python libraries that make data science more accessible to these firms than ever before. In FINCAD’s latest video
August 14, 2019
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