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Impact Analysis: The 2020 Clearing House Switch from OIS to SOFR Discounting

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2019/11/21
United States

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

イベント details

Industry
Capital Markets, Corporate Banking, Life & Health Insurance, Property & Casualty Insurance, Retail Banking, Wealth Management
Geographic Focus
Asia-Pacific, EMEA, LATAM, North America
Format
Webinar