UBS & CFEM AI, Data & Analytics Speaker Series with Chakri Cherukuri (Bloomberg)

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Our last speaker for the semester is coming up next Tuesday, Nov. 29th, and you won't want to miss it! Chakri Cherukuri of Bloomberg will discuss Bloomberg Short Term Bank Yield (BSBY) Index.

This seminar is free and open to all, but please note that for external guests,  we are restricting these talks to online attendance only. Registration is required (please RSVP here). You will receive the webinar link and dial-in info upon registration (the confirmation email will come from no-reply@zoom.us). 

Abstract:  As the discontinuation of LIBOR and transition to risk-free rates (RFR) is underway, market participants are seeking clarity on alternatives to LIBOR and what potential effects these rates will have on their loans. In mid-2017, Secured Overnight Financing Rate (SOFR) was selected as a replacement index to the U.S. dollar LIBOR, as SOFR is an overnight rate that is backward-looking and doesn't have a term structure.

In this talk, we'll look at the Bloomberg Short-Term Bank Yield (BSBY) Index, which is Bloomberg's proprietary offering of an alternative reference rate.

BSBY Index has been developed to provide a series of credit sensitive reference rates that incorporate bank credit spreads and defines a forward-term structure. Since BSBY is based on transactions of instruments used by banks to fund themselves, it includes a systemic credit spread in its rate, and can be used as a supplement to SOFR in the lending market.

We'll look at how BSBY Index is constructed, with a focus on the quantitative model for computing the yields for various tenors. We'll also look at some interactive tools and plots which provide transparency into our models.

Speaker Bio: Chakri Cherukuri is a senior researcher in the Quantitative Research group within the CTO office. His research interests include quantitative portfolio management, algorithmic trading strategies, applied machine learning and numerical methods. Previously, he built analytical tools for the trading desks at Goldman Sachs and Lehman Brothers. Before that he worked in the Silicon Valley for startups building enterprise software systems. He has extensive experience in numerical computing and software development. 

He is a core contributor and steering council member of bqplot, a 2D plotting library for the Jupyter notebook. He holds an undergraduate degree in mechanical engineering from Indian Institute of Technology, Madras, and an MS in computational finance from Carnegie Mellon University.