How to link market risk and the transition to the new risk-free rates?

I’m a market risk analyst intern and I’ve the opportunity to do a project related to it. So I would like to move towards SOFR and €ster transitions, I have seen quite a lot of documentation on this subject, such as fallback rate adjustments book which is available here, but I still can’t figure out which direction to go in order to be able to apply to market risk with real data.
Do you have any ideas on where to go or is it not entirely appropriate ?

I have several months so I am open to any kind of suggestion. Thank you.

Quantitative Finance Asked by Browl on February 8, 2021

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