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Contributions by Maks Oks
Managing the Risks of LIBOR ReplacementMar 17, 2021 Learn More
Investors now have clarity on the process of transitioning away from LIBOR and falling back on replacement benchmark rates. We used stress tests to show that fallback modeling may be necessary to measure and manage the risks of LIBOR instruments.
Repo-market turmoil may not spell SOFR’s endOct 24, 2019 Learn More
Investors and the media have begun to worry that the secured overnight financing rate (SOFR) — the U.S. interest-rate benchmark meant to address issues with and replace USD LIBOR — may introduce a new set of problems. Are the concerns justified?
Evaluating the impact of LIBOR fallbackApr 3, 2019 Learn More
The planned discontinuation of LIBOR and other interbank offer rates sometime in 2022 will affect a large number of existing financial contracts based on these benchmarks.