Mathematical Finance & Financial Data Science Seminar

Special Event - ONLINE PANEL DISCUSSION ON LIBOR TRANSITION

Speaker: Claudio Albanese, Antje Berndt, Samim Ghamami, Lotfi Karoui, Petter Kolm and Fabio Mercurio

Location: Online

Date: Friday, December 11, 2020, 5:30 p.m.

Synopsis:

Please join us for a panel discussion on LIBOR transition featuring Claudio Albanese, Antje Berndt, Samim Ghamami, Lotfi Karoui, Petter Kolm and Fabio Mercurio.

This panel aims to cover different aspects of the LIBOR transition, including:

  • Why is the official sector replacing LIBOR with alternative reference rates? 
  • The role and impact of LIBOR and its alternatives on derivatives, loan, and bond markets.
  • The pros and cons of SOFR; pros and cons of recent proposals on how to add credit sensitive spreads to SOFR.
  • How are banks and non-banks (such as hedge funds, asset managers, and central counterparties) preparing for the LIBOR transition? 
  • Should auctions be designed and organized to improve price discovery in early stages of transitioning out of LIBOR?

Slides From the Event: Slides

Background:

As LIBOR is expected to cease after 2021, markets participants are transitioning to new benchmark reference rates in relevant currencies. In the U.S., the Alternative Reference Rates Committee is coordinating the transition from LIBOR to SOFR, a measure of the cost of overnight financings secured by U.S. Treasury securities. A group of bank representatives argued in 2019 that banks in a SOFR-only environment may become reluctant to lend, particularly during periods of economic stress, or credit pricing might be increased considerably through the cycle. The banking regulators responded by forming a Credit Sensitivity Group to recommend a specific credit sensitive rate/spread that could be added to SOFR.

 

Bios:

Claudio Albanese holds a Ph.D. in Physics from ETH Zurich. After postdoctoral work at NYU and Princeton, he joined the University of Toronto where he started a program in Mathematical Finance. After a sabbatical year at Morgan Stanley, he joined the faculty at Imperial College London as Chair of Mathematical Finance. In recent years he has developed an innovative framework for risk analytics aimed at simplifying the solvers and scaling out to large entity-level models. His theoretical work is on the topics of cost of funding and cost of capital for banks, model risk, and reverse-stress-testing.

Antje Berndt is a Professor of Finance at the Australian National University. She has published in leading finance and economics journals including Review of Financial Studies, Review of Finance, and Journal of Monetary Economics. Her work has been featured in the Wall Street Journal and on CNBC Squawk Box, National Public Radio and Reuters. Berndt has received multiple research awards as well as being recipient of the ANU Futures Scheme, PNC Professorship in Computational Finance, the Global Association of Risk Professionals Research Management Award, and the Fulbright Enterprise Scholarship. 

Samim Ghamami is the senior economist and managing director at the Financial Services Forum, an adjunct professor at New York University, and a senior researcher at UC Berkeley. Ghamami serves on the Advisory Board of the Mathematics in Finance Program at NYU Courant. He has been an advisor to the Bank for International Settlements and has also worked as an expert with the Financial Stability Board. Ghamami has been a senior financial economist at Goldman Sachs, where he was a member of the LIBOR transition working group. He has also been an associate director at the U.S. Department of the Treasury, Office of Financial Research, and an economist at the Federal Reserve Board. His publications have appeared in different journals including Management Science, Mathematics of Operations Research, and Journal of Financial Intermediation.

Lotfi Karoui is the chief credit strategist of Goldman Sachs. He is responsible for research and views on global credit markets. He publishes regularly on the state of fixed income markets and asset allocation. Karoui’s academic research spans fixed income markets, interest rate models and macro-finance. It has been recognized with awards from the Financial Mathematics Institute of Montréal and published in a number of journals such as the Journal of Economic Dynamics and Control, the Journal of Financial Economics, and Management Science. Karoui has also taught finance and operations research courses at McGill University and HEC Montreal.

Petter Kolm is the Director of the Mathematics in Finance Master’s Program and Clinical Professor at the Courant Institute of Mathematical Sciences, New York University. Previously, Petter worked at Goldman Sachs Asset Management where his responsibilities included researching and developing new quantitative investment strategies.  He is an Advisory Board Member of Betterment (one of the largest robo-advisors in the U.S.) and the Alternative Data Group (ADG). Petter is on the Board of Directors of the International Association for Quantitative Finance (IAQF) and the Artificial Intelligence Finance Institute (AIFI), and serves on several editorial boards of academic journals. Petter’s work and research interests include alternative data, financial data science and machine learning, portfolio and risk management, quantitative and systematic trading, robo-advisory, transaction costs, and tax-aware investing.

Fabio Mercurio is the global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and market risk. Mercurio is also an adjunct professor at NYU. He has jointly authored the book "Interest rate models: theory and practice" and published extensively in books and international journals, including 20 cutting-edge articles in Risk Magazine. Mercurio is the recipient of the 2020 Risk quant of the year award.

 

Notes:

Registration: This event is free but requires registration.  Please use this link to register. https://forms.gle/MRZzvfi77powADnS6

Online Zoom access will be provided to registered attendees