Analyst Report – Jun 15, 2021

LIBOR Risk Q2 2021 Libor Transition Nears Its End – Five Topics You Need to Know

Libor Transition Nears Its End – Five Topics You Need to Know The complex transition from LIBOR to alternative reference rates (ARRs) has been slowly in the works for about four years, but has now gained full steam as at the end of this year all... Read More

Featured LIBOR Transition and Multi-Curve Pricing Research & Insights

Press Release – Jun 22, 2021
American Financial Exchange® Launches AMERIBOR® Term Structure of Interest Rates based on Overnight AMERIBOR Cash and Futures Prices

American Financial Exchange® Launches AMERIBOR® Term Structure of Interest Rates based on overnight ameribor cash...

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White Paper – Mar 30, 2021
White paper | Examining What's Next for LIBOR: Top Themes Dominating the Transition in 2021

In this research paper, Andrew McClelland PhD and Financial Engineering specialist at Numerix, examines the differences between risk-neutral dynamics and real-world dynamics, and the important role of risk premia.

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On-Demand Webinar – Jan 7, 2021
Risk.net On-Demand Webinar | LIBOR Telethon: Derivatives, Trading and Liquidity

Risk.net hosted a LIBOR Telethon where they sourced dozens of pressing questions from the Risk.net audience and hosted a live Q&A session with a panel of industry experts

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White Paper – Sep 4, 2020
White paper | LIBOR Transition Readiness: The Current Narrative

Results of a Numerix Global Survey on the LIBOR Transition

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White Paper – Jun 18, 2020
White paper | Exploring How AI Can Help Address Contract Challenges During the LIBOR Transition

In this white paper, Numerix Chief Strategy Officer and EVP of Client Services, Satyam Kancharla, and Gary Mandelblatt from NextGen Strategic Advisors, provide an assessment of the key challenges associated with renegotiating the millions of contracts tha

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White Paper – May 30, 2020
White paper | The LIBOR Countdown: Focusing on Derivatives and the Impact of COVID-19

In this white paper, Ping Sun, Senior Vice President, Financial Engineering, shares responses to several of the key questions posed in the webinar on the LIBOR transition titled Spotlight on Derivatives as part of its LIBOR Countdown webinar series, and s

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On-Demand Webinar – May 28, 2020
GARP On-Demand Webinar | Transitioning LIBOR in the Context of COVID-19

Webinar On-Demand

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Fast Track Course – Apr 28, 2020
Content Collection | Numerix MasterClass: LIBOR Reform

Join our world-class experts as they become your instructors in this LIBOR MasterClass.

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On-Demand Webinar – Apr 9, 2020
The LIBOR Transition: Impact of SOFR Switch on Swaptions

Webinar 04/09, 10am EDT

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OIS Discounting | What Road Are You On?




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
Swap Pricing at its Core: OIS Discounting and Curve Construction
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
The True Cost of OTC Derivatives Funding - FVA, OIS and Profitability

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
The Fundamentals of OIS Curve Construction - Where to Start

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
Economic Value Adjustment – The Intersection of CVA, FVA, OIS, & CSAs for OTC Derivatives

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
OIS Discounting - To Clear Or Not To Clear?

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
The Impact of OIS Discounting on the Pricing of Non-Linear Interest Rate Structures
How will the evolution of the interest rate options market toward the OIS approach impact pricing and modeling risks?  As part of our ongoing exploration into the market’s increasing complexities given OIS discounting and multi-curve approaches, we’...
Written Blog
OIS Discounting: The Increasing Complexity of Curve Construction
Curve construction in ‘the new world’ has become increasingly complex ?even when it comes down to vanilla deals. As part of our ongoing series on the impact of Overnight Index Swaps (OIS) discounting on valuation approaches, Numerix recently hosted...
Written Blog
Numerix Introduces Enhanced Capabilities in CrossAsset to Support Overnight Index Swaps (OIS) Discounting
Numerix CrossAsset, Version 10.0 Provides Model Innovation for Multi-Curve Pricing
New York, NY – March 13, 2012 – Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management, released in...
Press Release
OIS Discounting Fast Track
Get up to speed quickly on OIS discounting – from foundations to advanced applications
Since the global financial crisis, OIS Discounting has emerged as a market standard for valuing swaps and interest rate derivatives, but the speed and level of...
Event Recording

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