What happens when “the world’s most important number” disappears? The capital markets are facing difficult scenarios as LIBOR approaches its 2021 phaseout. During the transition to the alternative benchmark rates, there will be several pivotal changes that cannot be stressed enough, and one of them will be the emergence of new derivatives pricing and curve construction practices.

How do market participants address this coming challenge in the new pricing and valuation landscape? Join us on June 7 at the Harvard Club of New York City as speakers from NextGen Strategic Advisors and Numerix discuss:

  • The end of LIBOR and market implications
  • Curve construction requirements for the alternative benchmark rates
    • Instrument coverage
    • Curve features
  • Curve stripping best practices for the new rates

Plus, there will be a demo of SOFR curve construction and pricing analysis.

Agenda

 

8:00 AM - 8:30 AM          Registration Welcome Refreshments
 

8:30 AM - 9:00 AM          The Greatest Financial Engineering
  Project Of All Time: LIBOR Transition

                                           Speaker: Gary Mandelblatt

 

9:00 AM - 9:30 AM          Curve Evolution at the Dawn of
  Alternative Reference Rates

                                           Speaker: Ping Sun

 

9:30 AM - 10:00 AM        Curve Construction beyond LIBOR –
  A Jupyter Notebook Demo

                                           Speaker: Liang Wu

 

Location

Harvard Club of New York City
33 West 44th Street
New York, NY 10036
 

Don't Wait, Space is Limited - Secure Your Spot Today!

Attendance is complimentary, but registration is required.

Speakers

Gary Mandelblatt.pngGary Mandelblatt, Managing Partner, NextGen Strategic Advisors
Gary is a Managing Partner at NextGen Strategic Advisors with 34 years of experience working with financial institutions in managing market, credit and operational risks, managing regulatory relations, implementing regulatory requirements, defining strategies and building businesses. Gary was the Chief Risk Officer for Nomura Americas and Chairman of Nomura’s Global Dodd-Frank Implementation program. Prior to Nomura, Gary was a Managing Director at the Lehman Brothers Estate where he was responsible for building the valuation capabilities for 1.2 million derivatives contracts, and hedging open risk exposures. Prior to that, Gary was the Global Head of Fixed Income Strategy at Lehman Brothers and helped build the commodities and emerging markets businesses. Before joining Lehman, Gary was Managing Director at Smith Barney, Salomon Smith Barney and Citigroup and was a senior Market Risk Manager for Fixed Income and supported numerous regulatory efforts. Prior to that, Gary was a consultant with Coopers & Lybrand and First Manhattan Consulting Group.
 

Ping Sun.pngPing Sun, Senior Vice President of Financial Engineering, Numerix
Dr. Ping Sun is SVP of Financial Engineering and Head of the Numerix Financial Engineer Team in the U.S. He is also the product manager of Numerix Cross Asset. Dr. Sun works with clients to help solve their derivative pricing and risk management challenges. Dr. Sun’s extensive experience includes publications in academic oriented journals, academic lecturing. During his career at Numerix, he also served as a Consultant and FX/EQ Desk Quant for the Lehman Brothers estate. Dr. Sun was a postdoctoral fellow at Rutgers University, and he earned a doctorate degree in Physics from City College of New York.
 

Liang Wu, Vice President of Financial Engineering and Head of CrossAsset Product Management, Numerix

Liang Wu is a VP of Financial Engineering and heads up CrossAsset Product Management at Numerix. Wu has previously served as Director of Financial Engineering in the Client Solution Group at Numerix. Before joining Numerix in 2015, he worked at CME Group and HSBC in Pricing and Valuation, and Model Review roles. He holds an MSc degree in Financial Engineering from Columbia University, an MSc degree in Space Physics from Rice University and a BSc degree in Geophysics from University of Science and Technology of China.
 

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Numerix CrossAsset for the LIBOR Transition