Online: Interest Rate Reform Conference, 13th - 17th July

Online: Interest Rate Reform Conference, 13th - 17th July


The current global reform of interest rate benchmarks is radically changing the scenario, adding more and more interest rates, with important consequences for pricing and risk management of financial instruments.

With the increased expectation of some IBORs discontinuation and the increasing regulatory requirements related to benchmarks, a more robust fallback provision and a clear transition plan for benchmark-linked derivatives is becoming paramount for the interest rate market.

5 day format: 

  • BST 2pm – 5.30pm
  • CET 3pm – 6.30pm
  • EDT 9am – 12.30pm


This conference will be hosted via Webex for live chat and include access to our online educational portal. At the end of each conference day the video lecture, and slides will uploaded online to continue the debate via the daily forum.

  • Full access to all conference videos post event
  • Presentation slides all online
  • Take part in the on the forums at the end of each conference day

Post conference the recordings will be available via our online educational portal until the end of 2020.


Ibor to RFR – Overview and Recap

  • Context – financial markets affected
  • The wider benchmark reform agenda
  • Types of term benchmark rate
  • ARR methodologies/jurisdictions
  • Global progress – EU vs. UK vs. US

Case Studies:

  • Transition to SONIA
  • SOFR Transition
  • ESTR/EONIA Transition

Building your IBOR Transition Programme

IBOR Transition and linkage to the Risk & Capital Framework

“Looking forward to backward-looking rates: A Modeling framework for rates replacing IBORs”

  • Introducing backward-looking rates
  • Extending classic framework to model both forward- and backward-looking rates
  • Modeling generalized forward rates using Forward Market Model (FMM)
  • Completing FMM using Markovian HJM extension
  • Implementing the new modeling framework
  • Numerical examples

Pricing of Options and the Transitioning from Libor to RFR Rates

  • Derivatives pricing
  • Application to cap, floor and Swaption pricing in the transition period when booth Libor and OIS co-exist
  • Yield Curve construction

Impact of IBOR on Risk Metrics and Models

  • Risk Data
  • Risk Metrics
  • Risk Calculation
  • Model Governance
  • Product Governance

Pitfalls of ISDA Protocol

  • ISDA Benchmark Supplement and Protocol amendments
  • Controversies around pre-cessation trigger: ISDA, FCA and ICE prospective
  • Potential complications with bilateral trades

IBOR Transition and Model Uncertainty

  • How the IBOR transition impacts other models
  • Definition of model uncertainty
  • ML techniques to deal with uncertainty propagation through the model inventory