Download This PaperLIBOR Fallback: A Quantitative Perspective (Quant Summit Presentation Slides)
27 Pages Posted: 3 Jun 2019
Date Written: March 6, 2019
Abstract
Slides from the presentation at the Quant Summit 2019.
Agenda:
- The current status of the fallback improvements
- Potential difficulties with the proposed compounding in arrears option
- Value transfer in the fallback
- The RFR term rates
Keywords: LIBOR fallback, Quant Summit, compounding in-arrears, value transfer
JEL Classification: G13, G15, G18, C51
Suggested Citation: Suggested Citation
Henrard, Marc P. A., LIBOR Fallback: A Quantitative Perspective (Quant Summit Presentation Slides) (March 6, 2019). Available at SSRN: https://ssrn.com/abstract=3387458 or http://dx.doi.org/10.2139/ssrn.3387458
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