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（2020年3月16日追記）
この度の新型コロナウイルス感染症の状況に伴い、第54回丸の内QFセミナーの
開催日程及び方法を上記のとおり変更することと致しました。

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概要Abstract

The key differences between tenor-based and (risk-free) overnight benchmark rates are discussed. Roll-over risk, composed by a credit and a liquidity component, is modelled in a consistent and dynamical framework. It is shown how the roll-over risk model gives rise to spreads between different tenor-curves. Even though benchmarks such as SOFR, SONIA and TONAR may be viewed as (or near-) credit-risk-free, the liquidity component of roll-over risk persists, thus suggesting that overnight RFR benchmarks are no like-for-like replacements for tenor-based rates, such as LIBOR. In a second project, the focus is put on the pricing of RFR-based fixed-income instruments. The rational form of the underlying savings account model allows for the pricing in closed form of caplets, swaptions and futures written on a backward-looking interest rate benchmark. In another development, term risk and its foundations linked to liquidity risk are the centrepiece. Here, the aim is a characterisation of term risk from a market’s perspective while providing a theory anchored in Financial Mathematics.

A. Backwell, A. Macrina, E. Schlögl, D. Skovmand (2019) Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Perspective. UCT, UCL, UTS and University of Copenhagen working paper. http://dx.doi.org/10.2139/ssrn.3399680

A. Macrina, D. Skovmand (2020) Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks. Risks, 8(1), 23.
https://www.mdpi.com/2227-9091/8/1/23

In this seminar, we aim at understanding the nature of term risk and the implications for refinancing strategies and market participants whose investments are based on overnight interest rate benchmarks.

（本研究会はMicrosoft TeamsによるWebinar形式で開催されます。）

講師ご略歴Profile for speakers

Dr Andrea Macrina holds a PhD in Mathematics from King’s College, University of London, and an MSc in Physics from the University of Bern, Switzerland. He is a Reader in Mathematics and the Director of the Financial Mathematics MSc Programme in the Department of Mathematics, University College London. He also holds an Adjunct Professorship at the University of Cape Town in the African Institute of Financial Markets and Risk Management (AIFMRM). Andrea is one of the principle developers of information-based asset pricing, a framework for the pricing of a variety of asset classes including credit, fixed-income, equity, and insurance-linked assets. He speaks at seminars and conferences where he presents research findings to academics and industry professionals. He is the co-founder of the Financial Mathematics Team Challenge (FMTC), an annual research student workshop held in Cape Town and Rio de Janeiro. Andrea’s research benefits from fruitful collaborations with international researchers, doctoral students, and practitioners of the financial service industry. He is a member of the London Mathematical Society, the American Mathematical Society, the Bernoulli Society for Mathematical Statistics and Probability, and the Bachelier Finance Society. Aside from research in applied probability and stochastic modelling, a major part of Dr Macrina’s current research focuses on the transition from interbank offered rates (IBOR) to so-called risk-free rate (RFR) benchmarks. Personal web site: https://amacrina.wixsite.com/macrina

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