Yields.io was present at the Interest Rate Reform Conference (A Quant Perspective). This was an event organised by WBS Training, in London (UK), on March 4-6.
The current global reform of interest rate benchmarks has a large impact on modeling. This, together with issues with data and uncertainty on the benchmark definitions, implies that this transition leads to an increase in model risk.
Jos Gheerardyn, Yields.io's CEO talked about "IBOR transition and model uncertainty", covering the following points:
- How the IBOR transition impacts other models
- Definition of model uncertainty
- ML techniques to deal with uncertainty propagation through the model inventory
At the event: