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BUSANA 7003 – Business Analytics Project

Short Assignment 1

Context. You are a data analyst for JP Morgan Sydney. Amidst the transition away from LIBOR, you are asked to examine the quality of LIBOR rates as compared to ARRs (alternative reference rates). Your boss asks you to prepare some basic plots based on the data extracted from Factset, a data provider, and comment on whether or not LIBOR rates are noisier than ARRs. Before you do the plots, however, you should clean the data and comment on the questions related to outliers, data mistakes, and missing values.

Your colleague extracting data from Factset also sent you a brief e-mail saying that SARON data (the CHF alternative rate) was not available from Factset, and therefore she downloaded the data from the Swiss Central Bank web-site.  Your colleague suggests you use column B in “SARON_CHF” sheet for your SARON plots.

Examine the data on LIBOR rates and alternative reference rates (ARRs) in 4 major currencies (EUR, CHF, USD, JPY), and answer the following

1. Can you spot data mistakes? Please, list the data mistakes in the following table and comment on why you consider them data mistakes (no more than one sentence of explanation).

2. Can you spot legitimate outliers (positive or negative) in rates? Please, list the outliers, and explain why you consider them legitimate outliers as opposed to data mistakes (no more than one sentence for explanation).

3. Using examples from Q1 and Q2, explain how you distinguish between data mistakes vs legitimate outliers? Provide a brief written answer below (max 100 words).