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Julien Rey

Executive Director, Derivatives Data and Valuation Services, Global Lead LIBOR Transition, IHS Markit

Julien Rey leads Sellside Strategic Development for Americas and is Global Lead for the LIBOR Transition

Mr. Rey leads Sellside Strategic Development for Americas for IHS Markit Derivatives Data and Valuation Services and is Global Lead for the LIBOR Transition. He is based in our New York office. He joined IHS Markit in 2016. With over a decade of experience in the risk and valuations space, he partners with industry participants in financial markets to develop innovative solutions for the industry. He frequently speaks at industry conferences, to financial media and with industry participants in the OTC derivative markets. He focuses on interest rate derivatives valuations, XVA, funding considerations and the LIBOR transition.

Prior to joining IHS Markit, Mr. Rey was Head of the EMEA Rates Valuations team at Nomura in London. He began his career at HSBC in Paris where he held various roles in SSA Origination, Market Risk and Valuations.

Mr. Rey holds a Master of Science with a dual degree in Econometrics and Quantitative Finance from the Université Paris-Dauphine, France.

  • Financial Services
  • Benchmarks
  • Bermudans
  • Exotic derivatives
  • Fair value
  • Financial and trading
  • Financial market data
  • Forwards
  • Illiquid valuations
  • Independent price verification (IPV)
  • Inflation
  • Inflation swaps
  • Interest rate derivatives
  • Interest rate swaps
  • Interest rate volatility
  • London Interbank Offered Rate (LIBOR)
  • Market data
  • Options
  • Over-the-counter (OTC) derivatives
  • Price benchmarks & indexes
  • Prudent valuation
  • Put-call parity
  • Risk
  • Secured Overnight Financing Rate (SOFR)
  • Swaptions
  • Term rates
  • Valuation methodology
  • Valuation policy
  • Valuation process
  • Volatility

Interview

IBOR transition: Benchmark reform background, Risk Free Rates and industry actions
16 December 2019
Watch video

An examination of the LIBOR Transition
13 June 2019
Interview with Nasdaq Trade Talks.
Watch interview

The LIBOR Replacements: SOFR – a Leading Contender
26 March 2019
Interview with TabbFORUM.
May require TABB Group login credentials. Watch interview

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