More on OIS Discounting

Often in life we hit a point where paths converge, we look back behind us at a dusty beaten trail and forward at a newly paved road. It may not always be obvious though which path will be easier. Few want to be the first to test new terrain or see...
Written Blog

In this info graphic, Numerix asks "Which Road Are You On?" and explores the impact of the paradigm shift between a single curve LIBOR swap pricing framework and a multi-curve OIS discounting framework, as well as the potential pitfalls of the...
Info Graphic
Numerix provided TFS with the advanced and flexible analytical application it required to be ready to value its entire portfolio on a daily basis,using an OIS based methodology. With Numerix, TFS also gained the capability to structure and value...
Case Study
Since July 2013 when the Financial Accounting Standards Board (FASB) issued guidance permitting firms to use the Fed Funds Effective Swap Rate (Fed Funds rate), or Overnight Index Swap (OIS) rate for derivatives discounting both buy- and sell-side...
Written Blog

While OIS has emerged as the proxy for the risk-free rate and continues to emerge as the new standard for collateral discounting in the OTC markets, the story continues to evolve. In late July the Financial Accounting Standards Board (FASB)...
Video Blog

Watch the Video: The True Cost of OTC Derivatives Funding - FVA, OIS, and Profitability
The question at the root of the OTC derivatives decision process, "Is this trade profitable?", may at its core seem like a simple proposition. But in the...
Video Blog

In this video blog Numerix CMO, Jim Jockle speaks with Olga Us, Senior Quantitative Analyst about her recent PRMIA Master Class lecture, "OIS discounting Valuation Approaches Re-examined." Olga explains the drivers behind this paradigm shift in...
Video Blog
Risk.net | June 26, 2013 | By Clive Davidson
Anna Barbashova of Numerix discusses the impact of OIS pricing and valuation on derivatives pricing.
In The News

In this video blog, Numerix experts discuss the historical context and interconnectivity between OIS discounting, cheapest-to-deliver, funding valuations adjustments, CVA, DVA, and CSAs – and why the entire Economic Value Adjustment is now critical...
Video Blog

Following the 2008 financial crisis, OTC derivative market participants have come to realize that the valuation of derivatives requires forecasting curves dependent on an underlying index? in addition to separate discounting curves dependent on...
Video Blog

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