This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts. The white paper also includes a case study that highlights the potential impact of FVA on trade profitability. The author concludes that FVA is a real charge that will affect the profitability of trades, and therefore, should impact decision-making about the trade. We come to see why it is imperative to know this cost in order to make the best business decisions.
Highlights include:
Risk.net On-Demand Webinar | Zero-day options: ticking time bombs or high alpha trades?
A Step-by-step Guide to Using ChatGPT to Build a Simple Risk Application
Sibos 2023
Risk Australia
Risk Hong Kong 2023
Thinking Derivatively – March 2023 Newsletter
Risk.net On-Demand Webinar | D-day for the Rates Market: Solving the Outstanding Issues in US Libor...
Risk.net On-Demand Webinar | XVAs and Counterparty Credit Risk for an Energy Market in Crisis
Thinking Derivatively – January 2023 Newsletter
White paper | Using Emerging Technologies to Improve the Risk Management Function
Numerix Journal Vol. 8, No. 1
Thinking Derivatively – December 2022 Newsletter