Fabio Mercurio
Libor transition: Facts and Modeling Challenges
Abstract: IBOR rates were, and still are, the key reference rates in many financial products with the total market exposure worldwide of hundreds of trillions of US dollars. Because of the inverted pyramid effect, as well as the reported cases of LIBOR manipulation, global authorities prompted the creation of new, more robust risk-free rate benchmarks to be used in the majority of financial transactions. In this seminar, we'll review some of the main decisions and actions taken by regulators and market participants to transition away from LIBOR. We'll then discuss some of the modeling challenges that the introduction of new interest-rate benchmarks presents.