Pricing and risk models need to be adjusted to the Alternative Reference Rates (ARR). Entities will encounter several challenges in this process, the most critical being the lack of historical time series data, and absence of term structures and embedded credit risk components. The asymmetries between the benchmarks may ultimately lead to an increase of … More (L)IBOR Transition – Valuation and risk management considerations

Find out how IBOR transition has a wide-reaching impact including business processes, functions, technology and multiple asset classes. Author: Eveline Hunziker

Moving to a new Alternative Reference Rate (ARR) requires market liquidity, new legal contract terms and general acceptance of the new state of affairs in the relevant market from buy- and sell- side firms. Therefore, it is likely that all current Interbank Offered Rates (IBOR) will not transition at the same time for all products … More (L)IBOR Transition – Is there a Swiss Average Rate Overnight (SARON) market at the moment?

The Swiss Average Rate Overnight (SARON) has been selected as the Alternative Reference Rate (ARR) in Switzerland. What was the rationale behind the selection and what future challenges should be considered? Author: Simon Woods