The Design of Libor and Other Interest Rate Benchmarks


Darrell Duffie
Dean Witter Distinguished Professor of Finance
Graduate School of Business, Stanford University


Wednesday, November 6
4:15 - 5:15 PM
Building 370, Room 370


Abstract:

Libor is a global system of interest rate benchmarks that are referenced in financial contracts whose total notional amount exceeds 300 trillion dollars. (Yes, that is trillion, not billion.) Because Libor has been mis-reported in various attempts to manipulate financial markets, new interest rate benchmarks, and new methods for estimating benchmarks based on market transactions, are being developed. This talk will discuss the benchmark design problem, drawing on work in progress for the Financial Stability Board. The modeling issues involve both economic theory and statistics.

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Operations Research Colloquia: http://or.stanford.edu/oras_seminars.html