The Impact of New Alternative Reference Rates on ​Curve Instruments and Curve Modelling

In November 2020 Numerix participated in Asia Risk Congress, Asia's leading risk management, derivatives and regulation event. At that event, Thomas Chan, Director, Financial Engineering for Numerix based in Hong Kong presented an on-camera in-depth presentation exploring the LIBOR Transition in APAC. With LIBOR cessation on track for a December 2021 end, the objective of this presentation is to bring the Asian markets up to speed on local transition progress.


Discussion highlights include:

  • Introduction to the LIBOR transition and status update
  • The timeline and the milestones
  • Review of new instruments available
  • Explanation of the difficulties for the new ARR curves​
  • Exploration of impacts of the LIBOR Transition on portfolios
  • The LIBOR fallback and a discussion about how it works
  • The LIBOR Transition and the impact on hedging
  • What other areas financial institutions should be prepared for.


Featured Speakers:

James JockleThomas Chan, Financial Engineer, Numerix

Thomas Chan is a Financial Engineer based in the Numerix Hong Kong office focusing on quantitative finance, risk management and risk modeling. During his nearly five years of tenure at Numerix Mr. Chan has contributed to a number of client projects, specifically solution delivery and model validation. Previously at Hong Kong Exchanges and Clearing Limited (HKEx) Mr. Chan worked with the OTC Clear Risk Management and Risk Modeling teams. Others prior to experience includes working as a financial analyst for Nanyang Commercial Bank Ltd.


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on-demand webinar

Applying AI to Streamline the LIBOR Transition