Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257926 
Year of Publication: 
2019
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 3 [Article No.:] 88 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-15
Publisher: 
MDPI, Basel
Abstract: 
With the expected discontinuation of the LIBOR publication, a robust fallback for related financial instruments is paramount. In recent months, several consultations have taken place on the subject. The results of the first ISDA consultation have been published in November 2018 and a new one just finished at the time of writing. This note describes issues associated to the proposed approaches and potential alternative approaches in the framework and the context of quantitative finance. It evidences a clear lack of details and lack of measurability of the proposed approaches which would not be achievable in practice. It also describes the potential of asymmetrical information between market participants coming from the adjustment spread computation. In the opinion of this author, a fundamental revision of the fallback's foundations is required.
Subjects: 
collateral
derivative pricing
ISDA consultations
LIBOR fallback
multi-curve framework
pay-off measurability
value transfer
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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