Pricing IRDs: OIS Discounting, Risk, Operations and Audit

This two day course will provide examples of how OIS discounting has impacted on pricing methods.

25-26 Mar 2015 at Downtown Conference Centre, New York City, United States

Academic

Pricing IRDs: OIS Discounting, Risk, Operations and Audit 25-26 Mar 2015 Downtown Conference Centre, New York City, United States
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Join us on this 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, as well as the consequences for compliance and internal audit groups.

The learning objectives include:
- 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.

Event Category: Classes / Courses | Professional Training.

Prices:
Early Bird (register by 10 December): USD 2499,
Standard Price (after 10 December): USD 2999.

When
From: March 25, 2015 08:30
To: March 26, 2015 17:00
Where

Downtown Conference Centre, 157 William Street, 10038, New York City, United States

Category

Academic

Contact email
adriana.lobo@incisivemedia.com

Contact phone
+1 207 484 9700

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