Impact Analysis: The 2020 Clearing House Switch from OIS to SOFR Discounting
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21 November 2019
Join Liang Wu as he shows you how you can use Numerix and Python to deal with this historic shift in benchmarks by LCH and CME. He covers:
- SOFR curve construction – brief review
- The impact of switching from OIS to SOFR discounting
- P&L impact analysis
- Clearing house compensation – cash and risk exchange
- Implications for curve construction
- Key Takeaways
Capital Markets, Corporate Banking, Life & Health Insurance, Property & Casualty Insurance, Retail Banking, Wealth Management
Asia-Pacific, EMEA, LATAM, North America