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CQF Institute: Benchmarks in Transition (LIBOR and Overnight)

Descripción del evento

WORKSHOP OVERVIEW:

IBOR and overnight benchmarks are in transition. The legal aspect of the transition has been widely discussed but its quantitative aspect has been neglected, even if it is far reaching. This workshop will review those aspects in more depth than what is usually available in official documents, exploring: 

  •  The value transfers 
  • The impact on market risk management
  • The alternatives 
  • The incoherences between markets 
  • The many hidden adjustments 
Read the full workshop outline here

TUTOR OVERVIEW
Dr. Marc Henrard is Managing Partner at muRisQ Advisory and Visiting Professor at University College London. Marc has worked in various areas of quant finance including risk management, software development, trading, and research. He is also Head of Quantitative Research at OpenGamma and prior to that was Head of Interest Rate Modelling for D Interest Rate Modelling for Dexia Group, Deputy Head of Treasury Risk at the Bank for International Settlements (BIS), and Head of Quantitative Research and Deputy Head of Interest Rate Trading also at BIS. Marc's research focuses on interest rate modelling and risk management. Recently, he has turned his attention to market infrastructure (initial margin, product design,LIBOR fallback). Marc has authored two books: 'The Multi-curve Framework: Foundation, Evolution, Implementation' and 'Algorithmic Differentiation in Finance Explained'. He holds a PhD in mathematics from the University of Louvain.



Tipo de evento

Sociedad; Featured

Area de formación

 

Start Time

5/18/2021 2:00 PM

Hora de comienzo

5/18/2021 2:00 PM

End Time

5/19/2021 6:00 PM

Hora de término

5/19/2021 6:00 PM

Ciudad

 

Provincia

 

Ubicación Región

EMEA

Lugar de celebración

​Online

Ponente

 

Créditos CPD

 

Divisa

Ticket price: £995 + VAT

Precio para Socios

 

Precio para No-Socios

 

Precio para Candidatos

 

Inscripción

All Day Event

 

Recurrence

 

Education Topic

 

Event Country

 

Speaker

 

CPD Credits

.

SER Credit

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Registration

 

Créditos SER

 

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Event Short Info

CQF Institute: Benchmarks in Transition (LIBOR and Overnight) - IBOR and overnight benchmarks are in transition. The legal aspect of the transition has been widely discussed but its quantitative aspect has been neglected, even if it is far reaching. This workshop will review those aspects in more depth than what is usually available in official documents.

Attachments

Content Type: MyCFA Calendar
Created at 4/23/2021 6:38 AM by andrea.wolfes@cfaspain.org[CASMSTS:username]
Last modified at 4/23/2021 7:04 AM by andrea.wolfes@cfaspain.org[CASMSTS:username]