LIBOR Will Not Transition Quietly: What You Need to Know Now

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13 June 2019

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

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Asia-Pacific, EMEA, LATAM, North America