Dawn of Alternative Reference Rates: Curve Construction Fundamentals

In the financial markets, curve construction is a fundamental component to everything from pricing and risk management to accounting. As new alternative reference rates, also known as the RFRs, or risk-free rates are coming into play, this poses a significant challenge to current IT infrastructure and curve construction practices.

In this new 30-minute presentation, Ping Sun, SVP of Financial Engineering for Numerix CrossAsset tackles curve complexity under RFRs. He addresses this topic in three parts:

 

Part I: Introduction to RFRs and Curve Stripping: A Focus on SOFR

Part II: New Curve Instruments Observed in Today’s Market Based on ARRs

Part III: Market Best Practices in Constructing Curves and How They Can Be Applied to ARRs

 

Spotlight on SOFR: Where Are We Now?

 

Want More?

LIBOR Will Not Transition Quietly: What You Need to Know Now

 

The Impact of LIBOR's Phaseout on Technology: Maneuvering Through the Curve Highway

 

SOFR - Understanding New U.S. LIBOR Alternative Rate

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White paper | LIBOR Will Not Transition Quietly: What You Need to Know Now