Regulators and industry bodies have agreed on the alternative reference rates (ARRs) that will replace LIBOR, which is anticipated to no longer be published or supported past the end of 2021. To successfully transition to the new rates will require extensive efforts by institutions, who will need to address multiple activities related to ARRs documentation, client outreach, risk management, changes to processes and, crucially, upgrades to technology systems.

In this Q&A, Numerix Chief Marketing Officer James Jockle interviews Ping Sun, PhD and Senior Vice President of Financial Engineering at Numerix, to discuss the technology perspective tied to the switch to the ARRs—specifically, the impact it will have on curve instruments and curve modelling.

The key issues the article covers include:

  • The legacy systems in use today likely cannot be used for the new ARRS
  • The introduction of ARRs will likely require revamps to technology architectures to accommodate new curve requirements
  • Any new technology will need to accommodate 5 core functionalities
  • Approaching the tech upgrade inhouse vs. using vendor-provided solutions

 

Author Biography

Ping Sun, PhD Senior Vice President, Financial Engineering, Numerix
Dr. Sun, PhD is Senior Vice President, Financial Engineering at Numerix. He is also product manager of the Numerix CrossAsset analytics platform. During his career at Numerix, Dr. Sun’s work has appeared in number of publications and academic journals, and he has been showcased as a lecturer at a range of academic events and industry conferences. Dr. Sun served as a consultant to Lehman Brothers as a FX / EQ Desk Quant, and his is extensive experience includes working to develop the Numerix cross-currency Economic Scenario Generator. He earned a Doctorate Degree in Physics from City College of New York, and a Master’s Degree and Undergraduate Degree in Physics from Fudan University in Shanghai, China.

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