Trouble with the Curve - WatersTechnology.com

Amelia Axelsen
07 Dec 2018

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Not only has the London Interbank Offered Rate (Libor) endured a number of scandals throughout the years, but the fundamental structure of the market from which it was derived has drastically changed. Replacing Libor, deemed the “world’s most important number,” with a risk-free rates (RFR) based on actual trade data is imminent, but currently, no viable alternative is available that mirrors Libor’s curve and term structure.

The transaction data necessary to prevent rigging the numbers and

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