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Life after LIBOR: The Birth of New Rate Benchmarks

junio 20

TEMARIO

Módulos    

PART I: FOUNDATIONS
1. A Little History
– An overview of the LIBOR scandal
– The formation of reference-rate committees
– The new risk-free-rate (RFR) benchmarks
– The birth of RFR derivative markets
– The RFR as collateral rate or PAI
2. The Transition Away From LIBOR
– The new IBOR fallbacks
– Differences between derivatives and cash products
– Impact on existing deals
– Life after LIBOR
– Existing issues and challenges

   
PART II: MODELING
1. Valuation of RFR Derivatives
– A multi-curve pricing framework
– The pricing of RFR futures
– The pricing of RFR swaps
– The pricing of LIBOR swaps revisited
– The pricing of RFR-LIBOR basis swaps
2. Building RFR Vol Cubes
– The available market data
– The concept of minimal basis volatility
– Mapping LIBOR vols to RFR vols
– Numerical examples
3. The Generalized Forward Market Model
– The concept of extended bond price
– Backward-looking forward rates
– Forward-looking forward rates
– Modeling the joint dynamics of forwards
– The pricing of derivatives
– Numerical examples
   
HORAS: 7 1 Sesión

Información

Fecha de inicio 20 / 06 / 2019
Pais México
Duración 7 Horas
Sedes
  • JW Marriot Santa Fe
Horarios WORKSHOP 10:00 am a 5:00 pm
* El horario varia según el módulo
Puntos AMIB N / A
Puntos Mexder N / A
Precio MXN $ 17,400.00