Programme
Wednesday 19th June 2019, 10:00 - 19:00.
Room: LG001, Cass Business School, 106 Bunhill Row, London EC1Y 8TZ.
09.30 - 09.50 | Registration and Coffee |
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09.50-10.00 | Chair's Opening Remarks |
10.00 - 10.50 | Planning for the end of LIBOR |
10.50 - 11.40 | LIBOR fallback: A Quantitative Perspective |
11.40 - 12.10 | Coffee Break |
12.10 - 13.00 | LIBOR Transition – Implications for Actuaries |
13.00 - 14.00 | Lunch Break |
14:00 - 15.00 | Compression Auctions: Converting IBOR Swaps to New-Rate Swaps |
15.00 - 15.40 | The Clock Is Ticking: A Multi-Maturity Clock Auction Design for “IBOR” Transition (remote talk) |
15.40 - 16.10 | Coffee Break |
16.10 - 17.00 | New Interest Rate Benchmarks, Valuations and Risk Management |
17.00 - 18.00 | Transitioning from LIBOR to SONIA Dherminder Kainth Traded Risk, Supervisory Risk Specialists, Prudential Regulatory Authority Questions and comments from the floor |
18.00 - 19.00 | Closing Remarks and Networking |