Risk Free Rate Hypercube
Financial Risk Analytics' award-winning products and solutions, available online in the cloud, as a mobile app and on-demand bespoke service, measure and manage counterparty credit risk, market risk, regulatory risk capital and derivative valuation adjustments.
Risk Free Rate Hypercube, a new Risk Bureau tool, has been added to provide the industry with an up-to-date view of market implied fallback spreads and RFR product PVs. It extends our capabilities to give buy-side and sell-side firms unique insights into key risks in the financial markets, enabling users to determine the optimum fallback agreements ahead of the upcoming LIBOR cessation.
Risk Free Rate Hypercube allows buy and sell-side institutions to:
- View the current and historic implied fallback spreads given a specified LIBOR cessation date
- Explore the impact on PV and IR delta from LIBOR transition on various derivative products
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