Moving from IBORs to Alternative Risk Free Rates

Author:

Bianchetti Marco,

Abstract

In this short note we briefly review the state of the art of the ongoing transition from interbank rates (IBORs) to alternative risk free rates, with a focus on LIBOR and EUR benchmark rates. This note is a reduced version of a position paper published by AIFIRM in December 2019 [1], reporting more details regarding the impacts of the transition on Bank’s internal processes, updated to December 2020.

Publisher

Italian Association of Financial Industry Risk Managers (AIFIRM)

Reference19 articles.

1. [1] AIFIRM Position Paper n. 16, "From IBORs to RFRs: Impacts on Banks' Processes and Procedures", December 2019, http://www.aifirm.it/wp-content/uploads/2020/01/2019-Position-Paper-16-From-IBORs-TO-RFRs.pdf

2. [2] Finch, Gavin and Vaugham, Liam, "The Man Who Invented the World's Most Important Number", 29 November 2016, https://www.bloomberg.com/news/features/2016-11-29/the-man-who-invented-libor-iw3fpmed

3. [3] Michaud, François-Louis and Upper, Christian, "What drives interbank rates? Evidence from the Libor Panel", BIS quarterly review, 3 March 2008, https://www.bis.org/publ/qtrpdf/r_qt0803f.htm.

4. [4] ICE LIBOR, https://www.theice.com/iba/libor

5. [5] Euro Interbank Offered Rate (EURIBOR) rate. https://www.emmi-benchmarks.eu/euribor-org/about-euribor.html.

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