Marc Henrard - Multi-curve framework

The FCA, one of the UK regulators, is consulting on synthetic USD LIBOR . I have expressed my opinion about synthetic LIBOR on many occasions in the last couple of years, in conferences, seminars, informal discussions, etc., but I have not directly posted anything substantial on this blog. This post uses as an example the USD LIBOR to be created next June but applies in similar manners to GBP and JPY LIBOR created at the beginning of this year. I already mentioned synthetic LIBOR in my first blog after the official announcement of LIBOR discontinuation: “ Alea iacta est: LIBOR non est ”. For a transition that was announced by the same FCA in its ill-titled “the future of LIBOR” speech more than 5 years ago and that was described as at a date that `` is far enough away ”, if the need for a synthetic LIBOR sounds like a failure it is because it is. What is synthetic LIBOR? It means continuing to publish a rate, still call LIBOR, in the way and with the mechanism used for LIBOR, but n...

I will be speaking at the @CQFInstitute’s Annual Quant Insights Conference on 2–3 November. Join me and other quant finance experts as we explore the latest industry innovations. You can book your free ticket here https://www.qiconference.com/november-2022/  

I was once more invited to speak at a "major" quant conference. And once more, I'm happy for this invitation. I answered with the usual "I would be delighted to speak, I have proprietary and timely research that I would happy to present at my usual conditions: fair speaker fee and expenses". They said it was good to have me on board, and asked for the subject and title; I provided (copyrighted) material in relation to a seminar proposal. My name and material was used on the conference website. They also asked me to provide marketing material for their conference. Two months and many exchanges later, where I repeated my conditions. They confirmed my speaking slot, but when I asked to confirm the exact fee and the expenses mechanism, they told me that they plan to discriminate against me (yes, they put the discrimination in writing) and not offer me a fair retribution: " small budget for speakers and I want to increase XXX by supporting some XXX XXX from th...

At the beginning of the week I participated to the "Benchmark Reform Congress" organized by CEETA in Warsaw (Poland). I discovered with interest the current situation in the Polish market with the strong push by the government to reform the interest rate benchmark and discontinue the use of WIBOR as the main benchmark by the beginning of 2023. The transition could be more difficult than in the LIBOR case as 6 months before the potential discontinuation date, the replacement benchmark has not been decided yet. The current overnight rate is POLONIA , published by the central bank; it is used for collateral remuneration but there is almost no OIS transactions. The local CCP KDPW is in theory clearing those instruments but there is currently no outstanding transactions (even if there were some a couple of years ago). The local players are discussing about potential new benchmarks. The current status is discussed in a long consulting paper published by GPW Benchmark: Transact...

I will be giving a seminar at the Università di Bologna - Dipartimento di Scienze Stastistiche (online) on Thursday 17 March at 16h00 (local time). Seminar web page: https://stat.unibo.it/it/eventi/benchmark-transition-why-mathematicians-statisticians-are-required Title Benchmark transition: why mathematicians/statisticians are required Short abstract In the past couple of years, interest rate derivatives markets have undergone important changes. In some majors currencies, the references benchmarks have moved from LIBOR types to overnight types. Those changes have legal and financial impacts but also generate many interesting mathematical finance questions. The seminar will propose an introduction to the benchmark transition through the lens of the relevant mathematical finance questions. The answer to those questions have significant impacts in terms of valuations and risk management for vanilla and exotic products. The seminar invite is below. Contact me for the seminar link.

I went for a short walk around my house. Coming back home, I looked at the walk's map on my mobile (linked to my golf watch). The walk map was couple of kilometers away from the actual walk, of an impossible length and with a smooth drift while I stopped. Is there some GPS signal jamming — war related? — taking place at the moment?

 Mr Close, bourgmestre de Bruxelles, aurait dit, d'après un article de presse Dans l’article 26, il est écrit que le fait de se réunir à l’extérieur est soumis à une autorisation et aux lois de police. Voici l'Article 26 de la Constitution de la Belgique : Les Belges ont le droit de s'assembler paisiblement et sans armes, en se conformant aux lois qui peuvent régler l'exercice de ce droit, sans néanmoins le soumettre à une autorisation préalable. Cette disposition ne s'applique point aux rassemblements en plein air, qui restent entièrement soumis aux lois de police. Il n'est bien évidemment nulle part mention d'une autorisation pour se réunir en plein air. L'article indique une règle générale d' INTERDICTION d'un quelconque mécanisme d'autorisation. Il y a une exception à cette règle qui mentionne les "lois de police", mais certainement pas une OBLIGATION d'autorisation. Le bourgmestre prête le serment suivant: " Je ju...

Picture of my big screen TV not provided!