Discover the BGM Model's role in pricing interest rate derivatives using LIBOR rates. Learn its applications, advantages, and insights for swaptions and caplets.

With the 2021 sunset of LIBOR looming on the horizon, the clock is ticking for banks and derivatives market participants to prepare for the transition to risk-free rates (RFRs). Most of the discussion ...

SIFMA took a look again at its Rule G-17 model disclosure documents since it had been a while, said Bernard Canepa, vice president and assistant general counsel at SIFMA. The Securities Industry and ...

SYDNEY, July 17 (Reuters) - Australia's market interest-rate setting mechanism could provide an improved model to the London interbank offered rate, a global benchmark under a cloud for manipulated ...

Under the Australian system, there appears to be less potential for manipulation of the Bank Bill Swaps (BBSW) Reference Rates than for Libor. While banks submit self-determined estimates of their ...

Interest Rate Modeling for Risk Management - Market Price of Interest Rate Risk, 2nd Edition, presents information about the application of the 'interest rate model' for risk management goals. When ...