Pricing IRDs: OIS Discounting, Risk, Operations and Audit

Mar 18, 2014 to Mar 19, 2014

Location Bloomsbury Way
London, UK
Cost £2199
Details This training course will provide examples of how OIS discounting has impacted on pricing methods, how and why this effects middle and back office functions, as well as the consequences for compliance and internal audit groups.

The majority for the course is delivered by a single expert tutor, experienced in the pricing of interest rate products on a daily basis. Their sessions will explain the fundamentals of interest rate pricing such as bootstrapping, zero-curve building, discounting and marking to market. The course will also cover pricing methods since the crisis, where OIS discounting has become the market-dominant discounting rate. This course will ensure you are up to date with best practice in the market, and have a clear understanding of the elements which contribute to the pricing of interest rate products.

The second day of the course will provide more detail on pricing in counterparty risk, and funding costs, through CVA and FVA. The focus will cover middle and back office challenges, and how groups can maintain compliance in a rapidly changing discipline. The course will include a discussion on CVA and FVA hedging strategies, bringing together the theoretical theories, and exploring the current debate, on whether FVA should be charged on uncollateralised derivatives and how those charging FVA can reduce volatility.

Learning Outcomes:
> The operational challenges of managing collateral and margin in a CVA sensitive world
> How the use of OIS Discounting has had an impact of pricing methodology and support functions
> Why CVA has become a central part of dealers' derivatives operations, and how it can be priced accurately
> What FVA is, why it is important in pricing, and the arguments for and against charging FVA on uncollateralised positions
> The objectives of hedging CVA and FVA, and the role of the CVA/FVA desk
Venue The Kingsley Hotel

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