Bloomberg’s Fabio Mercurio and co-author named Quants of the Year at Risk Awards 2020

Bloomberg is pleased to announce that Fabio Mercurio, Head of quantitative analytics at Bloomberg and Andrei Lyashenko, Head of market risk and pricing models at Quantitative Risk Management – won the Risk Quants of the Year Award for their work in extending interest rate modelling techniques to alternative overnight benchmarks.

According to the Risk.net article announcing the win: “their forward market model – an extension of the classic Libor Market Model – allows forward values to be simulated from both forward- and backward-looking alternative reference rates, solving one of the biggest problems of Libor transition.”

More information is available on Quants of the year: Andrei Lyashenko and Fabio Mercurio.