Presented at the Libor Summit USA | November 2019

This presentation entitled “Dawn of Alternative Reference Rates: Curve Construction Fundamentals” was given by Ping Sun of Numerix at the Libor Summit USA in New York City on November 7th.

The presentation addressed:

  • Introduction to RFRs and curve stripping: a focus on SOFR
  • New curve instruments observed in today’s market based on ARRs
  • Market best practices in constructing curves and how they can be applied to ARRs

 

Numerix Presenter Bio:

Ping SunPing 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.

 

Complete the form to the right to download this slide deck from Ping Sun's November 2019 Libor Summit USA presentation.

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Complete the form below to download this slide deck from Ping Sun's November 2019 Libor Summit USA presentation.

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