Quantitative mission within the Financial resources management team (FRM) of the front office of a Paris-based CIB called on Quanteam to assist with the Libor transition and RWA-related issues.
The use of Libor (London Interbank Offered Rate) was deemed inappropriate by market players. This was due to manipulation of the said curves and a lack of liquidity. The aim of the Libor transition is to be able to use rates that better reflect market conditions.
In addition, the FRM team needed help with the development and maintenance of VBA tools, and with RWA-related issues.
The completion of this project will not only enable the FRM team to comply with Libor market requirements, but will also provide them with support in the tasks that punctuate their day-to-day work.