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Overview
LIBOR has played a pivotal benchmarking role in global financial markets for 35 years, but as this role winds down and firms transition to using SOFR and other reference rates, millions of contracts worth hundreds of trillions of dollars must be retooled.
By June 2023, this once-dominant reference rate will be phased out entirely. Capital markets, consumer loans, and a wide variety of investment products will be affected by this transition. In the U.S., the shift is well underway, with regulator plans to accelerate the process through 2021 as recommended by the Financial Stability Board (FSB) in its 2020 Progress Report.
Join CFA Society New York as we invite leaders from across the industry to share their expertise during this transition period. In three sessions, speakers will address implications for capital markets and asset management, share their observations on the current process, and envision actionable strategies for firms to navigate complex legal, methodological, and regulatory considerations.
Don’t miss out on these timely sessions addressing an industry paradigm shift. Register now to join in the discussion.
Registration Options
Single Day Pass
- Nonmembers: $25
3-Day Bundle
- Nonmembers: $50
Agenda
Implementation of a Libor Transition Program
12:00 PM | OPENING REMARKS
Andrew Auslander, CFA, FRM, Co-Chair of the Value Investing Group, CFA Society New York
12:05 PM | PANEL DISCUSSION
Moderator
Peter Went Ph.D., CFA, Lecturer, Columbia University
Panelists
Ann Battle, Head of Benchmark Reform, ISDA
Jason Granet, Managing Director, Goldman Sachs
Adam Schneider, Partner, Digital Banking, Libor Platform Lead, Oliver Wyman
1:00 PM | Q&A
1:25 PM | CLOSING REMARKS
Leo Schmidt, CFA, Chair of the institutional Asset Management Group, CFA Society New York
Modeling Implications of Replacement Rates for Libor
12:00 PM | OPENING REMARKS
Andrew Auslander, CFA, FRM, Co-Chair of the Value Investing Group, CFA Society New York
12:05 PM | PANEL DISCUSSION
Moderator
Peter Went Ph.D, CFA, Lecturer, Columbia University
Panelists
Fabio Mercurio, Global Head of Quantitative Analytics, Bloomberg, L.P.
Agha Mirza, Managing Director, Global Head of Rates & OTC Products, CME Group
Jonathan Rosen, Ph. D., Product Manager, Quantitative Analytics, FINCAD
1:00 PM | Q&A
1:25 PM | CLOSING REMARKS
Arthur Fliegelman, CFA, Chair of the Financial Reporting & Analysis Group, CFA Society New York
Legal and Regulatory Aspects of the Libor Transition
12:00 PM | OPENING REMARKS
Andrew Auslander, CFA, FRM, Co-Chair of the Value Investing Group,CFA Society New York
12:05 PM | PANEL DISCUSSION
Moderator
Peter Went Ph.D., CFA, Lecturer, Columbia University
Panelists
Jason Jurgens, Partner, Jones Day
Rachel Rodman, Partner, Cadwalader, Wickersham & Taft LLP
Lary Stromfeld, Partner, Cadwalader, Wickersham & Taft LLP
1:00 PM | Q&A
1:25 PM | CLOSING REMARKS
Leo Schmidt, CFA, Chair of the institutional Asset Management Group, CFA Society New York
Agenda
Alternative Data in Investment Management: Usage, Challenges and Valuation*
Petter Kolm, Director of the Mathematics in Finance Master’s Program, New York University
*This section will not be recorded
The Colour of Finance Words
Diego Garcia, Chair of the Finance Division and Burridge Endowed Chair in Finance at the Leeds School of Business, University of Colorado at Boulder.
Machine Learning in Quantitative Investing
Vladimir Zdorovtsov, Senior Vice President, Director, Global Equity Research, Acadian
Fundamental Analysis Via Machine Learning
Haifeng You, Hong Kong University of Science and Technology
The Changing Economics of Knowledge Production
Simona Abis, Columbia Business School
Panel Discussion | Data Science in Finance: Applications and Strategy for the Future
Peg DiOrio, CFA, Head of Head of Quantitative Equity Portfolio Management, Voya Investment Management
Stacie L. Mintz, CFA, Managing Director, Co-Head of the Quantitative Equity team and Portfolio Manager, QMA
Lilian Quah, CFA, Managing Director, Portfolio Manager, Head of Quantitative Research, Epoch Investment Partners
Additional Details
Learning Outcomes
Implementation of a Libor Transition Program
March 25 | 12:00 PM – 1:30 PM
- Operational considerations for LIBOR transition
- Documentation review and renegotiation
- Managing ISDA protocols
- Strategies to mitigate risks and financial losses
Modeling Implications of Replacement Rates for Libor
April 22 | 12:00 PM – 1:30 PM
- Developing pricing and valuation curve
- Understand the effects on models by using replacement reference benchmarks
- Determining the fair value under changing benchmarks
Legal and Regulatory Aspects of the Libor Transition
May 25 | 12:00 PM – 1:30 PM
- Legal implications of the Libor transition
- Changes in legislation and regulation
- Fall-back language for legacy contracts