Risk.net and Numerix: Transitioning to a Post-LIBOR world
Libor is a cornerstone of today’s financial industry, underpinning an estimated $350 trillion in contracts. The size, scale and scope of Libor usage makes the transition to a post-Libor world by 2021 arguably one of the biggest challenges facing financial firms.
This webinar provides a critical understanding of Libor’s current status, the transition, building curves, valuation and modelling, and advancing technology to prepare for market changes.
Key topics discussed:
- The current status of the risk-free rate (RFR) transition plan and how market participants are using RFRs Valuation Adjustment
- How market participants can prepare for and manage a forced transition via fallback language
- The best approach to building curves in less liquid RFR markets and what additional risk management measures are required
- How and when RFR liquidity can reach critical mass
- The impact of shifting from liquid Libor to less liquid RFRs and how will that will impact derivatives pricing
- The wider impacts of losing a rate that is so prevalent in valuation, risk and forecasting models
- A checklist for systems upgrades – the size of the IT challenge and what changes firms need to make
Featured Speakers:
Liang Wu, Vice-president of financial engineering, Numerix
Philip Whitehurst, Head of service development rates, SwapClear, LCH
Edward Ocampo, Former senior adviser, Bank of England
Jasper Lillingston, Director, Treasury, European Bank for Reconstruction and Development
Moderator:
Helen Bartholomew, Editor-at-large, Risk.net
Featured Speakers
Liang Wu
Liang Wu is an Executive Director of Financial Engineering and heads up CrossAsset Product Management at Numerix. Wu has previously served as VP of Financial Engineering in the Client Solution Group at Numerix. Before joining Numerix in 2015, he worked at CME Group and HSBC in Pricing and Valuation, and Model Review roles. He holds an MSc degree in Financial Engineering from Columbia University, an MSc degree in Space Physics from Rice University and a BSc degree in Geophysics from University of Science and Technology of China.
