Beyond Libor: the impact of SOFR on rates, bonds and loans
Dmitry Pugachevsky, director of research at Quantifi, explores how the transition from Libor to the secured overnight financing rate (SOFR) impacts rates, bonds
Source: risk.net
Libor Ois News Today : Breaking News, Live Updates & Top Stories | Vimarsana
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Top News In Libor Ois Today - Breaking & Trending Today
FRA-OIS demise leaves hole in bank treasury risk management
Banks now face ‘greater downside’ to widening credit spreads
Source: risk.net
Podcast: Henrard on the remaining challenges for Libor transition
Rates quant says swaptions fallbacks turn cash-settled vanilla products into exotics
Source: risk.net
Clearing of legacy Libor swaps
Phillip Whitehurst, LCH, discusses the most disruptive aspects of all the conversions of non-US dollar Libor trades that will have happened by the end of the
Source: risk.net
Podcast: Piterbarg on medians and machine learning
How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation
Source: risk.net