Event Details
- Course
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This event has been completed
Pricing IRDs - OIS Discounting, Risk, Operations and Audit
- March 18, 2014 - March 19, 2014
- The Kingsley Hotel
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London, United Kingdom
- Introduction
- 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.
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
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 - Useful Links
- Reference link 1
- About Organiser
- Incisive Media
- E: matthew.king@incisivemedia.com
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