June 4 2020      5:00PM – 6:00PM     Online Zoom discussion

The next 18 months are a critical time for transforming trillions of dollars of global financial products — mortgages, loans, swaps, bonds and more — to “alternative rates,” or ARs. In the wake of the 2008 financial crisis, the legacy London Interbank Offered Rate is now seen as easy to manipulate, subjective and — somewhat controversially — not a risk-free rate. LIBOR was in some sense already on life support, as credit support agreements during the crisis switched from using LIBOR discounting to less-risky overnight-index swap rates. This talk offers a historical background on LIBOR before moving into the quant framework for the upcoming changes — the development of term ARs, new modifications to discounting, market instruments using ARs and fallbacks for existing LIBOR products.

Presenter: Jonathan Schachter

Jon Schachter is an independent consultant at Natixis North America, part of the French bank conglomerate BPCE. He has 20 years of Wall Street experience at Goldman Sachs, Morgan Stanley, State Street and the financial institution practice of Deloitte. Since 2010, his work has focused on learning the lessons of the 2008 financial crisis. At Natixis, he is a primary force behind the transition from LIBOR at both its New York and Paris (head) offices. Mr. Schachter has given talks and guest lectures at Columbia, Cornell, Fordham and IAQF. He is a frequent contributor to LinkedIn on regulatory quant matters — including founding the Regulatory Quant discussion group — and tweets as @regquant.

About this series

The Financial Engineering Seminar Series is a recurring event featuring thought leaders from industry and academia, who bring their experiences to a variety of important topics in this discipline. For more on financial engineering at Stevens, visit the master's program homepage.

To connect with the speaker contact: Elizabeth Awosogba (eawosogb@stevens.edu) or Professor Dan Pirjol (dpirjol@stevens.edu).

Please register if you plan to attend: https://www.stevens.edu/events/weaning-ourselves-libor.