Wednesday 19th June 2019, 10:00 - 19:00. Room: LG001, Cass Business School, 106 Bunhill Row, London EC1Y 8TZ.
Speakers
Edwin Schooling Latter
Director of Markets and Wholesale Policy at the Financial Conduct Authority
Darrell Duffie
Dean Witter Distinguished Professor of Finance at the Standford Graduate School of Business
and
Marco Bianchetti
Head of Fair Value Policy at Intesa Sanpaolo
Marc Henrard
Managing Partner at MuRisQ Advisory
Dherminder Kainth
Traded Risk, Supervisory Risk Specialists, Prudential Regulatory Authority
Jon Neale
Member of the Institute and Faculty of Actuaries' LIBOR Reform Working Party
Hetal Patel
Deputy Chair of the Institute and Faculty of Actuaries LIBOR Reform Working Party
Haoxiang Zhu
Associate Professor of Finance, MIT Sloan School of Management.
Information on the above speakers can be found here.
Evolving Regulatory Landscape
We are pleased to invite you to attend the above workshop. The seminar is timed as Interbank Offer Rates (IBOR) have been the market reference rate over the last 30 years. However, following well-documented issues with manipulation of these rates, and the concurrent sharp post-crises decline in liquidity of interbank unsecured funding market, regulators have decided to change the way they are reported and introduce new reference rates. The move away from IBOR rates to overnight rates has been indeed prompted by the G20 and the Financial Stability Board. For example, in the US Market, the Fed Fund rate has been replaced by the Secured Overnight Financing Rate (SOFR). In the Eurozone, Euro Short-term Rate (ESTER) will overtake Euribor, whilst in the UK SONIA is the candidate replacement put forward by the Bank of England; similar changes will occur in other countries.
Aim
The aim of this workshop is to bring together experts from both the academia and the industry to address the most relevant issues from the transition between benchmarks. Areas of interest include, but are not limited to, robustness of valuation models, fall-back provisions, Solvency II dependencies, and FOREX exposures.
Networking
This workshop represents a unique opportunity to engage with key policymakers and other interested parties including representatives from banks, financial advisors, consultancies, lawyers, academics, regulators, investment managers, insurers and business such as commercial lending, market infrastructure, corporate treasury.
Booking arrangements
This Event is now fully booked.
Programme
The day's programme can be found here
