Albanese, Claudio; Iabichino, Stefano; Mammola, Paolo - 2021
By halting the LIBOR's publication, large volumes of fixed income securities, from loans to derivatives, will fall back … Adjustment (FVA) reset amounts. Our proposal accomplishes the LIBOR indexing’s mandate of transferring banks’ funding risk to … counterparties more accurately and robustly than the LIBOR itself while being objective and legally robust. We conclude that the …