Pricing IRDs: OIS Discounting, Risk, Operations and Audit 2014

Topics

• Using of OIS Discounting, impact of pricing methodology and support functions
• Operational challenges of managing collateral and margin in a CVA sensitive world
• What FVA is, why it is important in pricing, and the arguments for and against charging FVA on uncollateralised positions
• Why CVA has become a central part of dealers` derivatives operations, and how it can be priced accurately
• The impact of these many challenges on middle office and back office trading functions, particularly in regard to collateral and margin
• The objectives of hedging CVA and FVA, and the role of the CVA/FVA desk
• The long term risk, compliance and audit requirements for market participants

Who should Attend

Attendees responsible for:

• Derivatives Middle Office
• Rates Trade Support
• Derivatives Finance/Funding
• Derivatives Back Office
• Derivatives Legal
• Treasury
• Compliance
• Derivatives Technology
• Market Risk Manager
• Internal Audit
• Credit/Counterparty Risk Manager