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Global Financial Markets Intelligence

Global Financial Markets Intelligence

IBOR Transition - What it Means for the Derivatives Market

The implications for derivatives pricing and risk management of the proposed 'retirement' of IBOR as a core market benchmark

4-5 Feb 2019
Paris, France


Why You Should Attend

IBOR Transition - What it Means for the Derivatives Market

How will you benefit?

Ever since the ‘LIBOR scandal’ there has been pressure from regulators and central bankers to find an alternative benchmark money-market index. The first IBOR transition process in 2008-10 saw the market adopt OIS discounting as best practice in derivatives valuation; now the BoE and ECB have signaled their intention to go one step further and retire IBOR entirely.

This course looks at the reasons for the planned change, what the new benchmark rate(s) will look like, how it will impact on the pricing and risk-management of interest-rate derivatives, and the challenges that this poses for banks and dealers. We start by reviewing the first IBOR transition (the adoption of OIS as the core discount curve), and the details of the ‘LIBOR manipulation’ scandal that sowed the seeds for the upcoming second transition. The course then looks quantitatively at what this will mean for derivatives practitioners responsible for the valuation and risk-management of interest-rate sensitive derivatives. The approach is rigorous but accessible, with intuition emphasised over mathematical complexity, and illustrated throughout with real-life examples, exercises and case studies.

  • Understand what is planned and how it will affect you
  • Understand at a fundamental level the role that a benchmark rate plays in derivatives pricing
  • Learn what this implies for collateral and margining
  • Help your bank prepare itself and its clients for the transition

About your expert trainer:

Richard Fedrick started his career in 1988 in the Derivatives Product Group at Morgan Stanley, which he joined after three years of post-grad research in Theoretical Physics. He spent three years as a rates and FX structurer at Morgan Stanley before moving to a similar role at Deutsche Bank in London. In 1993 Richard joined General Re Financial Products, a newly-formed AAA boutique that soon became established as one of the world’s leading derivatives businesses. At GRFP Richard initially ran the structuring desk, before moving into trading (rates and FX exotics), eventually finishing as global co-head of structuring and sales.

After leaving the market Richard moved into the world of training and consulting. In 2015 he founded FYVR Consulting, which offers consulting and bespoke training services worldwide, on all aspects of capital markets, derivatives and risk-management. FYVR has worked with many of the world’s most prestigious banks and financial institutions

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analyzed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Who should attend?

This course is relevant for all institutions using IBORs in derivatives products, including but not limited to: commercial and investment banks, asset managers, pension funds, hedge funds and insurance companies. The course is ideally suited for anyone involved in:

  • Interest rates derivatives trading
  • Quantitative analysis
  • Financial engineering
  • Market risk management
  • Model validation
  • Independent price verification
  • Product control
  • Collateral management
  • Derivatives structuring
  • Derivatives sales
  • Client relationship managers
  • Documentation and legal drafting



Why Choose GFMI marcus evans?

marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.







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Event Contact

For all enquiries regarding speaking, sponsoring and attending this conference contact:

Kamelia S. Simeonova


101 Finsbury Pavement
London EC2A 1RS


Telephone:
0044 20 3002 3172
Fax:
Email: kamelias@marcusevansuk.com