Numerix is proud to join with PRMIA to present the OIS Discounting Master Class Video Series

The series is a collection of on-demand Master Class video lectures which provide hands-on technical instruction for pressing challenges around OIS discounting. 


PART I: OIS Discounting - Valuation Approaches Re-Examined

In Part I of the OIS Discounting Master Class Video Series, participants will learn about the recent paradigm shift in derivative valuation practices from single curve LIBOR discounting to a dual curve/multi-curve approach.

Presenters Moorad Choudhry and Olga Us will discuss best practices and important considerations in implementing an OIS discounting approach.

PRESENTATION I - Two Curves: Libor, OIS and Multi-Currency Option

Approximately 20 minutes

Presenter: Moorad Choudhry – Author, Principles of Banking and Professor at the Department of Mathematical Sciences, Brunel University

Detailed Agenda

PRESENTATION II - OIS Discounting - Valuation Approaches Re-examined

Approximately 30 minutes

Presenter: Olga Us - Senior Quantitative Analyst, Numerix

Detailed Agenda

 

PART II: OIS Discounting & Funding Curves Impact on P&L for Risk Managers

In Part II of the OIS Discounting Master Class Video Series, participants will learn about the relationship between Overnight Index Swap (OIS) discounting and Funding Valuation Adjustment (FVA). The video lectures will offer insights into the pricing challenges present in the evolving funding dynamics for OTC Derivatives - including complications from optionality embedded in Credit Support Annexes (CSAs).

Presenters Moorad Choudhry and Ion Mihai breakdown the fundamentals of OIS discounting and FVA, then we explore interplay between these two concepts in the true cost of funding OTC Derivatives.

PRESENTATION I - Derivative Funding Costs, Funding Policy and FVA

Approximately 20 minutes

Presenter: Moorad Choudhry – Author, Principles of Banking and Professor at the Department of Mathematical Sciences, Brunel University

Detailed Agenda

PRESENTATION II - Funding Valuation Adjustment for OTC Derivatives

Approximately 30 minutes

Presenter: Ion Mihai, PhD, Client Technical Solutions Group, Numerix

Detailed Agenda

 

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