Pricing IRDs: OIS Discounting, Risk, Operations and Audit

Two day course which will provide examples of how OIS discounting has impacted on pricing methods, how and why this effects middle and back office functions.

25-26 Mar 2014 at Downtown Conference Center New York, New York, US

Education & Learning

Pricing IRDs: OIS Discounting, Risk, Operations and Audit 25-26 Mar 2014 Downtown Conference Center New York, New York, US
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The Fundamental Review is introducing a raft of new requirements, ranging from desk level approval of market risk models to the treatment of market illiquidity in the modelling process. Risk has arranged for leading regulators from the Trading Book Group of the Basel Committee on Banking Supervision to participate as speakers and panellists, alongside established experts in market risk from the industry. This unique mix of speakers, combined with an academic approach that prioritises discussion and debate means this seminar will provide a truly unique forum for attendees to benchmark their progress and learn about the immediate and long-term impact on market risk management and banks' trading strategies.

> 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
> The impact of these many challenges on middle office and back office trading functions, particularly in regard to collateral and margin
> The long term risk, compliance and audit requirements for market participants

Early Booking Rate 1: $2700 (Before 13 December)
Early Booking Rate 2: $3200 (Before 3 February)
Full Price: $3600 (After 3 February)

From: March 25, 2014 09:00
To: March 26, 2014 17:00

Downtown Conference Center New York, 157 William Street, 10038, New York, US


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