LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help

Find out how new Risk Free Rates (RFRs) have been adopted in derivatives markets around the globe, and learn how Numerix analytics can help firms price new RFR products, construct RFR curves, and build volatility surfaces.

The LIBOR transition has happened – kind of. LIBOR’s cessation date of December 31st, 2021 has come and gone for most currencies and tenors, and the world has mostly moved on to new Risk Free Rates (RFRs), especially for new issuance. But market adoption of new RFRs has been somewhat slower than anticipated by many market participants and regulators, and adoption varies by jurisdiction.

Join Liang Wu of Numerix as he discusses the latest developments in the LIBOR transition, and how Numerix’s RFR analytics are helping firms manage their transitions to new RFRs.

Liang covers:

  • Market update on RFR derivatives adoption
  • Overview of Numerix RFR analytics
    • Product coverage
    • Curve construction
      • Discounting curve
      • LIBOR fallback curve
      • LIBOR-to-LIBOR fallback transition curve
    • Volatility surface updates

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