July 22, 2020
Ensuring Operational Readiness for the SOFR Transition
Join Charles River's Explore & Learn webinar series. Discover new ways to leverage the Charles River Investment Management Solution as our product experts discuss and demonstrate the latest product capabilities.
Charles River experts Ephraim Hirschfeld and Sumit Kumar continue our Explore & Learn webinar series with a look at the latest developments around the Secured Overnight Financing Rate (SOFR)curve construction, analytics and swap pricing.
The Alternative Reference Rates Committee (ARRC) has selected the Secured Overnight Financing Rate (SOFR) as the recommended alternative reference rate for replacing LIBOR in the U.S. The transition from LIBOR to SOFR will have a significant impact on OTC Derivatives markets. Charles River is working to help ensure operational readiness across the investment process for our buy-side clients, aligned with emerging regulatory and industry guidelines.
- Current State of SOFR
- Structure of the SOFR curve, challenges & possible solutions
- Pricing of Swap / Basis Swap using SOFR curve with live demo
- Transitioning to SOFR
The webinar is a 35-minute presentation and discussion followed by Q&A.
Senior Product Manager
Sumit is a Senior Product Manager for OTC Derivatives at Charles River Development. He has over 15 years of experience in Derivatives and Risk Management on both the buy-side and sell-side. Prior to joining Charles River, he was a Derivatives and Risk subject matter expert at Calypso Technology, a Derivative Product Manager at Wellington Management, and a Model Validation Quantitative Analyst at Lehman Brothers. Sumit is currently a PhD candidate in Quantitative Finance at the Indian Institute of Management and holds an MBA in Corporate Finance from the IE Business School. Sumit is also a certified PRM (Professional Risk Manager). Sumit is also a regular speaker at industry conferences for risk and derivatives.
Senior Product Manager
Ephraim is responsible for managing the Analytics product team at Charles River. Ephraim has over 10 years’ experience in buy-side financial services, specializing in ex-ante risk modeling, analytics, derivatives and fixed income securities. Prior to joining Charles River, Ephraim served in product management and risk management consulting roles at Intercontinental Exchange and Wilshire Associates respectively. Ephraim holds an MS in Mathematical Finance from the University of Southern California.