CRISIL GR&A and Professional Risk Managers' International Association (PRMIA) co-hosted a round-table on key issues and alternative solutions that are being pursued to meet the challenges around changes needed across a plethora of models impacting Risk Measurement, Asset Liability mismatch estimation and Transfer pricing.

The targeted 2021 date for LIBOR transition is not far away considering the amount of work and challenges which lie ahead. The discussion focused on some of the notable industry challenges:

• Risk Model methodology and operational changes: Challenges around Risk models changes needed to replace the LIBOR specific risk factors with ARR corresponding risk factors across asset classes
  
• Asset Liability Management: Changes needed to be carried out across the models and processes supporting ALM across currencies
  
• Transfer Pricing: Incorporating the impact of ARR on Transfer pricing methodology and models, impact on funding rates and references, curve construction and downstream transfer price estimation