Finance | End of LIBOR Programme | Bayes Business School

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Wednesday 19th June 2019, 10:00 - 19:00.
Room: LG001, Cass Business School, 106 Bunhill Row, London EC1Y 8TZ.

09.30 - 09.50	Registration and Coffee
09.50-10.00	Chair's Opening Remarks
10.00 - 10.50	Planning for the end of LIBOR Edwin Schooling Latter, Director of Markets and Wholesale Policy, Financial Conduct Authority Questions and comments from the floor
10.50 - 11.40	LIBOR fallback: A Quantitative Perspective Marc Henrard, Managing partner at muRisQ Advisory and visiting professor at UCL Questions and comments from the floor
11.40 - 12.10	Coffee Break
12.10 - 13.00	LIBOR Transition – Implications for Actuaries Hetal Patel, Deputy Chair of the Institute and Faculty of Actuaries’ LIBOR Reform Working Party Jon Neal, Member of the Institute and Faculty of Actuaries’ LIBOR Reform Working Party Questions and comments from the floor
13.00 - 14.00	Lunch Break
14:00 - 15.00	Compression Auctions: Converting IBOR Swaps to New-Rate Swaps Darrell Duffie, Professor of Finance, Stanford Graduate School of Business Questions and comments from the floor
15.00 - 15.40	The Clock Is Ticking: A Multi-Maturity Clock Auction Design for “IBOR” Transition (remote talk) Haoxiang Zhu, Associate Professor of Finance, MIT Sloan School of Management Questions and comments from the floor
15.40 - 16.10	Coffee Break
16.10 - 17.00	New Interest Rate Benchmarks, Valuations and Risk Management Marco Bianchetti, Head of Fair Value Policy at Intesa Sanpaolo Questions and comments from the floor
17.00 - 18.00	Transitioning from LIBOR to SONIA Dherminder Kainth Traded Risk, Supervisory Risk Specialists, Prudential Regulatory Authority Questions and comments from the floor
18.00 - 19.00	Closing Remarks and Networking