Risk.net | LIBOR Telethon: Derivatives, Trading and Liquidity
In December, Risk.net hosted a LIBOR Telethon where they sourced dozens of pressing questions from the Risk.net audience and hosted a live Q&A session with a panel of industry experts.
Why Attend?
Learn more about usage of RFR-linked swaps and the differences between geographies. As all markets have work to do on non-vanilla instruments, you will better understand the challenges derivatives markets are facing as LIBOR cessation quickly approaches.
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The derivatives markets have made the most progress with the LIBOR Transition, however there are still many unknowns. In December, Risk.net hosted a LIBOR Telethon where they sourced dozens of pressing questions from the Risk.net audience and hosted a live Q&A session with a panel of industry experts.
Liang Wu, Vice President of Financial Engineering and Head of CrossAsset Product Management of Numerix joined the discussion and shared his thoughts on where the industry stands in terms of the treatment of non linear products, the use of alternative benchmarks, and the LIBOR cessation timetable.
In the conversation topics covered include:
- Swap market liquidity and the use of multiple rates
- Cliff edge in LIBOR fallbacks
- SOFR term or credit sensitive rates as benchmarks
- How to manage forward rate agreements
- Path forward for those not adhering to ISDA fallback protocol
- State of play for cross currency swaps
- US dollar swaps market and the preferred benchmark
Featured Speakers
Liang Wu
Liang Wu is an Executive Director of Financial Engineering and heads up CrossAsset Product Management at Numerix. Wu has previously served as VP of Financial Engineering in the Client Solution Group at Numerix. Before joining Numerix in 2015, he worked at CME Group and HSBC in Pricing and Valuation, and Model Review roles. He holds an MSc degree in Financial Engineering from Columbia University, an MSc degree in Space Physics from Rice University and a BSc degree in Geophysics from University of Science and Technology of China.
