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SOFR

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How to choose the right Risk-free Rate

Download PDF The risk-free rate is a very wide-spread concept and fundamental for various topics in finance, most notably corporate valuation and derivatives pricing. Often however, not much thought is given to what a risk-free asset is and what rate to use. This article will dive deeper into the theoretical Read more…

By BSIC, 3 years27 February 2022 ago
Fixed Income Markets Old Articles

From LIBOR to SOFR, the benchmark transition – Pt.4

Download as PDF SOFR On November 17, 2014, the Federal Reserve Bank established its own research group, the Alternative Reference Rates Committee, a commission composed by the major international banks, central counterparties and asset managers, with the support of the U.S. Department of Treasury,  the U.S. Commodity Futures Trading Commission Read more…

By BSIC, 5 years10 May 2020 ago
Fixed Income Markets Old Articles

From LIBOR to SOFR, the benchmark transition – Pt.3

Download as PDF ICE LIBOR Nowadays, LIBOR is administered by ICE Benchmark Administration, which publishes the rate for seven tenors (overnight, 1-week, 1-month, 2-month, 3-month, 6-month and 1-year) in five currencies (Euro, U.S. Dollar, British Pound Sterling, Swiss Franc and Japanese Yen). Currently, twenty panel banks submit their estimates between Read more…

By BSIC, 5 years10 May 2020 ago
Fixed Income Markets Old Articles

From LIBOR to SOFR, the benchmark transition – Pt.2

Download as PDF The First Reaction One of the first institutional proposals for a reform of LIBOR came from the Weathley Review of LIBOR. Commissioned in late June 2012 by the UK Chancellor of the Exchequer, it has been driven by Martin Weathley, former managing director of the Financial Services Read more…

By BSIC, 5 years3 May 2020 ago
Fixed Income Markets Old Articles

From LIBOR to SOFR, the benchmark transition – Pt.1

Download as PDF Introduction Since the 2008 Crisis, several events have undermined the global trust in the major financial benchmarks. Above all, the London Interbank Offered Rate (LIBOR) had its reputation impaired, and its role weakened. The spike in its value after the collapse and bail-out of leading banks posed Read more…

By BSIC, 5 years3 May 2020 ago

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