Cliff effect might demand risk calculation agility until LIBOR cessation

Short-term SOFR and LIBOR will remain decorrelated and are expected to keep changing until the LIBOR transition. Many capital markets participants question whether this difference will lead to a sharp “cliff effect” affecting pricing, valuation and risk calculations.

In this Risk.net featured article, Murex’s Didier Loiseau outlines the challenge that the capital markets industry faces as a result.

Download the piece for a comprehensive rundown and learn more.