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Webcast: Why LIBOR discounting is so wrong

Speaker: Dr Jon Gregory

To watch this webcast now, please fill-in your details below:

A course on this topic is available in London Time Zone, New York Time Zone and Singapore Time Zone

Webcast Agenda

  • The history of LIBOR discounting 
  • The global financial crisis and OIS discounting for collateralized trades 
  • FVA and LIBOR discounting of uncollateralized trades 
  • LIBOR-OIS basis and the symmetry of FVA 


1.What about discounting when there are different types of collateral?
A. See video at 30:53.

2.You mentioned symmetric and asymmetric funding, but what do most banks actually do? How do they treat their funding?
A. See video at 32:28.

3.During the talk the theme of partial collateralization came up as a potential issue for LIBOR discounting; what do banks do in that case?
A. See video at 35:14.

Thank you to those attendees who submitted their questions.

LFS offers 'The xVA Challenge' programme with Dr Jon Gregory in London, New York, Singapore, Frankfurt and Sydney.

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