ABSTRACT

Manipulation of benchmark rates (IBORs) for the financial benefit of individuals and institutions resulted in reduced use of the benchmark and have made their future use doubtful. The volume of LIBOR referencing loans/transactions has substantially declined over the last few years. In the markets which face the disappearance of IBORs, there needs to be a transition to new reference rates. This talk outlines various proposals put forward by ISDA and other interest groups and discusses operational and quantitative issues associated with their implementation.

ABOUT THE SPEAKER

Volf Frishling was awarded a PhD at the Flinders University of South Australia in 1983. After various jobs in the government and private sectors, he joined the Commonwealth Bank of Australia where he held various senior Quantitative positions in the Front Office as well as in Market Risk. From December 2005, he was Head of Market Risk Analysis and Quantitative Support at National Australia Bank, managing a team of 20 quantitative professionals across 3 regions – Australia, New Zealand, Europe. In 2001 and again in 2008 Volf was appointed Adjunct Professor at the University of Technology Sydney. After a 3-year stint at the NAB London office, Volf returned to Sydney, to the NAB Market Risk Quantitative Support group as a Senior Consultant.

Sponsored by Commonwealth Bank

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