Thinking Derivatively - April 2020 Issue



Dear Reader,

From all of us at Numerix, we hope you and your loved ones are staying safe and well. The world is fighting a very serious health pandemic, and so at the same time a parallel war is being fought: an economic pandemic. Financial institutions are dealing with extreme risk shocks and this has ushered in heightened levels of uncertainty for the capital markets.

But there is one major risk event that is measurable, has known drivers, and has a known end: the cessation of LIBOR. That’s why this April edition is dedicated to examining key issues and addressing outstanding questions and solutions related to the LIBOR transition.

With my warmest wishes for your continued wellness,

Steven R. O’Hanlon
Chief Executive Officer and President

Product Update: Putting LIBOR Fallbacks in Focus
This webinar provides an update on ISDA’s latest developments on benchmark fallbacks for moving derivatives off IBORs. Using Numerix’s CrossAsset Python SDK to build out a what-if analysis, we illustrate how different fallback spreads will impact the P&L of swaps of various tenors.

New LIBOR Panel Puts Spotlight on Derivatives
Panelists from Numerix, Deutsche Bank, LCH, and Tradeweb discuss LIBOR transition timelines, discounting rates for cleared derivatives and market volatility during the health pandemic.
LEARN MORE>> Launches LIBOR Risk: Taking an In-Depth Look at Key Issues
In the first quarter edition of’s new quarterly report, Libor Risk, Numerix discusses the risk dynamics of SOFR discounting and how SOFR discounting can affect future cashflows.
READ REPORT>>       


Upcoming Events and Webinars

April 30 | Webinar - Structured Products: Transforming Risk into Opportunities

Please visit Numerix Events & Webinars for more information.


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