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Impact Analysis: The 2020 Clearing House Switch from OIS to SOFR Discounting

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21 November 2019
United States

Join Liang Wu as he shows you how you can use Numerix and Python to deal with this historic shift in benchmarks by LCH and CME. He covers:

  • SOFR curve construction – brief review
  • The impact of switching from OIS to SOFR discounting
    • P&L impact analysis
    • Clearing house compensation – cash and risk exchange
    • Implications for curve construction
  • Key Takeaways

Event details

Industry
Capital Markets, Corporate Banking, Life Insurance, Property & Casualty Insurance, Retail Banking, Wealth Management
Geographic Focus
Asia-Pacific, EMEA, LATAM, North America
Format
Webinar