Marc Henrard - Multi-curve framework

When I created my consulting firm, I called it muRisQ (standing for management of Risk by Quantitative methods). This was before SARS-CoV-2 escaped from Wuhan. In the mean time, the WHO has changed its naming convention for variants and is using the Greek Alphabet and not the place of original detection anymore. After the original Wuhan Coronavirus, we had the Kent, South Africa and India variants; they are now called Alpha, Beta and Delta. Now there are so many variant that the letter " mu " as been reached at the end of August. Luckily for muRisQ, mu is a " Variant of Interest ". It could have been worst with mu being a " Variant of Concern ". But it could have been better if I had called the firm nuRisQ or xiRisQ. For some reasons that escape me, the WHO has skipped those two letters and has jumped to " Omicron " recently. Without risk of libel, I can now write that the WHO is an analphabet organisation: "Analphabet: Characterized by i...

Open letter to Ursula VON DER LEYEN in relation to REGULATIONS COMMISSION IMPLEMENTING REGULATION (EU) 2021/1847 of 14 October 2021 on the designation of a statutory replacement for certain settings of CHF LIBOR Dear Ursula, I read with interest your REGULATION (EU) 2021/1847. If you don't mind, I would have a couple of simple questions regarding the text. I'm certain the numerous consultations you indicate you have done have already answered those questions, so it should just take you a couple of minutes to answer them. Ambiguous definitions (rate) The text indicates 1-month CHF LIBOR is replaced by 1-month SARON compound Rate, as observed over the 1 month period preceding the interest period; What is the meaning of " 1 month period preceding ". From my experience, this is not a trivial question in finance. The first ISDA consultation, published in July 2018, had a similar issue. It indicated " observed over the relevant IBOR tenor and compounded daily dur...