After 2021, the UK’s FCA will no longer compel banks to use LIBOR as the benchmark for short-term interest rates. In this Q&A, James Jockle, Chief Marketing Officer and Ping Sun, Senior Vice President of Financial Engineering at Numerix discuss the true impact of LIBOR’s end on curve instruments.
This paper introduces a different recovery forecasting methodology for LGD (loss given default) parameter and explores stochastic forecasting with details of how to calibrate the model.
This white paper assesses the scale of the collateral management challenge and considers how firms can best prepare for the future by building greater flexibility around collateral management systems and processes.
With budgets and resources under pressure, and traditional systems struggling to cope with data volume and complexity, this white paper considers how banks can leverage new technologies to gain a more consistent view across the trades in their portfolios, saving time and money in the process.
This XVA forum features a panel of industry leaders assessing the major factors driving XVA adoption today.
This white paper examines the state of the XVA space. It explores how market participants are grappling with the conceptual and practical challenges of MVA, which XVAs are most important now, and how cloud-based solutions could be beneficial for XVAs.
This white paper examines the results of a recent survey conducted by FX Week in association with LCH ForexClear. It explores the impact of the financial crisis on FX derivatives, the effectiveness of clearing, compression and optimisation tools in minimising costs, and what lies ahead for FX…
LIBOR Alternative Rates - The Transition and the Future of OTC Derivatives Pricing and Curve Construction
The development of new references rates alternative to LIBOR are expected to have direct consequences for derivatives contracts, particularly for those that do not mature until after 2021. This white paper discusses these issues and the preparations derivatives market participants should consider…
This white paper explores the areas that will most likely be affected by the replacement of Libor with new benchmarks. It further proposes solutions on how to make the transition easier as well as more cost-efficient.
This white paper explores the evolution of the distributed ledger technology (DLT) phenomenon as well as its barriers to adoption. It further examines how blockchain can provide organisations with a solution to some of the issues facing the derivatives market.