Entrenched in the markets since 1986, LIBOR is currently tied to approximately $400 trillion of financial contracts for derivatives, bonds, mortgages, and retail and commercial loans. Because of its huge embeddedness in the capital markets, the shift to the selected risk-free rates could very possibly be the greatest challenge facing financial institutions today.

In this Q&A, Numerix’s Liang Wu, Vice President, Financial Engineering, and Head of CrossAsset Product Management, addresses the following:

  •     The immensity of the transition effort from the IBORs to the RFRS  
  •     The characteristics of the RFRs  
  •     Considerations for RFR curve building and valuation modelling  
  •     RFR liquidity issues
  •     The IT challenges associated with the transition

 

Author Biography

Liang Wu, Vice President of Financial Engineering and Head of CrossAsset Product Management at NumerixLiang Wu, Vice President of Financial Engineering and Head of CrossAsset Product Management at Numerix
Liang Wu is a VP of Financial Engineering and heads up CrossAsset Product Management at Numerix. Wu has previously served as Director 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.

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Preparing for a World Without LIBOR