Webinar

LIBOR Transition: Derivatives Valuation and Market Data Post-Libor

On Demand
Duration: 31 Minutes
Original Date: June 07, 2022

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As the market adapts to the transition from LIBOR to Risk-Free Rate (RFR) benchmarks, clients are in need of a partner that can work with them as they navigate through the RFR rates, market data, analytics and workflow. Join us to learn how Bloomberg is generating high quality RFR curves and volatility cubes, and offering market standard RFR models to value RFR swaps, caps, floors, swaptions and structured products accurately.

Discussion Topics:
  • Risk Free Rates (RFR) and related data
  • Derivatives Data – RFR Curves and Volatility Cubes
  • Derivatives Pricing – RFR Swap, Cap/Floor, Swaption
  • Derivatives Pricing – Complex RFR products
  • ISDA IBOR fallback and Term Rate support
  • BVAL Data Product

Speakers

Kate Eisenman

Cross Asset Derivatives Product Manager, Global Financial Engineering Group

Bloomberg LP

Kate has been managing cross-asset derivatives products, market data and projects at Bloomberg for the past 10 years, based in New York.

Prior to Bloomberg, Kate was an Executive Director at JPMorgan, structuring, executing and developing Commodity and Hybrid Structured Products for investors, corporations and institutions. Prior to JPMorgan, Kate was a Senior Vice President at HSBC, in Commodity Structured Products and OTC Options lastly. Kate was a head quant for Commodity Derivatives, worked on IR derivatives, Equity derivatives and FX derivatives models, pricings, risk analysis and managed trading system design and implementations. Kate has a Master and ABD in Biophysics, a MBA, finished all required courses with a 4.0 GPA in the Math Finance Master’s program at NYU Courant, and was a first prize winner of the Chinese National Mathematics Competition.

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