Programme

Draft Programme (subject to changes)

09.30 - 09.50Registration and Coffee
09.50-10.00Chair's Opening Remarks
10.00 - 10.50

Planning for the end of LIBOR
Edwin Schooling Latter
, Director of Markets and Wholesale Policy, Financial Conduct Authority
Questions and comments from the floor

10.50 - 11.40

LIBOR fallback: A Quantitative Perspective
Marc Henrard
, Managing partner at muRisQ Advisory and visiting professor at UCL
Questions and comments from the floor

11.40 - 12.10Coffee Break
12.10 - 13.00

LIBOR Transition – Implications for Actuaries
Hetal Patel,
Deputy Chair of the Institute and Faculty of Actuaries’ LIBOR Reform Working Party
Jon Neal,
Member of the Institute and Faculty of Actuaries’ LIBOR Reform Working Party
Questions and comments from the floor

13.00 - 14.00Lunch Break
14:00 - 15.00

Compression Auctions: Converting IBOR Swaps to New-Rate Swaps
Darrell Duffie
, Professor of Finance, Stanford Graduate School of Business
Questions and comments from the floor

15.00 - 15.40

The Clock Is Ticking: A Multi-Maturity Clock Auction Design for “IBOR” Transition (remote talk)
Haoxiang Zhu, Associate Professor of Finance, MIT Sloan School of Management
Questions and comments from the floor

15.40 - 16.10Coffee Break
16.10 - 17.00

New Interest Rate Benchmarks, Valuations and Risk Management
Marco Bianchetti, Head of Fair Value Policy at Intesa Sanpaolo
Questions and comments from the floor

17.00 - 18.00Transitioning from LIBOR to SONIA 
Dherminder Kainth Traded Risk, Supervisory Risk Specialists, Prudential Regulatory Authority
Questions and comments from the floor. 
18.00 - 19.00Closing Remarks and Networking