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Webcast: Why LIBOR discounting is so wrong

Speaker: Dr Jon Gregory

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A course on this topic is available in London, Hong Kong, New York, Singapore, Frankfurt, Stockholm, Sydney and Dubai

Webcast Agenda


  • The history of LIBOR discounting 
  • The global financial crisis and OIS discounting for collateralized trades 
  • FVA and LIBOR discounting of uncollateralized trades 
  • LIBOR-OIS basis and the symmetry of FVA 


Q&A


1.What about discounting when there are different types of collateral?
A. See video at 30:53.

2.You mentioned symmetric and asymmetric funding, but what do most banks actually do? How do they treat their funding?
A. See video at 32:28.

3.During the talk the theme of partial collateralization came up as a potential issue for LIBOR discounting; what do banks do in that case?
A. See video at 35:14.

Thank you to those attendees who submitted their questions.


LFS offers 'The xVA Challenge' programme with Dr Jon Gregory in London, New York, Singapore, Frankfurt and Sydney.

To find out more, click on the location links above or contact us at advisor@londonfs.com

Are you interested in running our public courses in-house? Contact our in-house team to discuss further.


Why travel? Many clients are already attending our courses from the convenience of their home or office with LFS's state-of-the-art remote learning platform: LFS Live