Marc Henrard - Multi-curve framework

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!

Three weeks after I asked a couple of questions to the EU president related to the regulation on CHF-LIBOR, questions that were also posted on my blog , I have received an answer from DG FISMA Unit C.3 - Securities Markets. The answer is posted below (minus the introduction and the signature) The policy intention with this replacement was to ensure that the cessation of CHF LIBOR does not cause large-scale contract frustration for contract parties and holders of financial instruments in the EU. In accordance with the conditions for the exercise of the powers, set out in the Benchmark Regulation, the Commission has taken into account the recommendations made by the National Working Group on Swiss Franc reference rates, has conducted a public consultation in the spring of this year[1] and has published a draft of the implementing act for feedback in August[2]. To the extent we understand your detailed queries, the elements of the implementing act concerned were present in the draft act ...

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...