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OIS Discounting

Banks in Australia are actively embracing OIS discounting for the pricing of collateralised derivatives. By doing so they are maximising their profit opportunities by factoring counterparty credit risk into pricing and valuation. Operating an OIS discounted approach requires business sophistication across the whole spectrum of a bank’s operation. This workshop is designed to explain the rationale behind OIS discounting and to reveal the more complex elements that it demands.


PROGRAM:
TITLE: OIS Discounting
CE: 6.5hrs
FEE: Member - $935.00 including GST
Non Member - $1,166.00 including GST
 
DATES:
Sydney Apr 4, 2018
9:00am - 5:00pm
Sydney Nov 14, 2018
9:00am - 5:00pm

About the Speaker

Ben Watson, CEO, Maroon Analytics Australia

Ben Watson is the CEO of Maroon Analytics Australia, a Quantitative Analytics Consultancy that helps Banks and Financial institutions with any aspect of their quant requirements. Maroon has been helping its clients with some of the more complex issues that they face today, such as OIS discounting, FVA, CVA/DVA and quantitative impacts of regulation.  

Ben came to the Maroon business with 22+ years working for Investment Banks as a Quantitative Analyst. Up to 2012 he was the APAC regional head of the Quant function for RBS and before that the local head of Quant at ABN AMRO Australia.  He has a long track record of building real time pricing and risk management systems for traders and risk management teams. In 2012 he managed the successful OIS migration of a large derivatives trading book for a global bank. 


Who is this for?

This workshop is ideal for anyone whose work is affected by OIS discounting or who is likely to be impacted by an OIS migration.

What will you learn?

Upon completing this workshop you will be able to:

  • describe the drivers behind the adoption of OIS discounting for trades where collateral is posted against a derivative position
  • discuss how central clearing works and the role it plays in mitigating credit risk
  • describe the features of a CSA and how they affect credit exposure and the pricing and risk managing of a derivative
  • build an OIS curve
  • understand how to build a dual bootstrapped swaps curve
  • build a single and multi-currency CSA curve
  • discuss the concepts of projection and discounting delta
  • estimate the cost of moving a trade to a collateral curve
  • describe the process of generating a CSA translation matrix
  • analyse the impact of optionality on the risk of a multi-currency CSA position
  • discuss the issues when hedging risks such as gamma and driver/CSA correlation with an OIS migrated book
  • identify different methods for transferring CSA risk between books/desks
  • identify the steps required to complete an OIS migration

Testimonials

The presenter clearly understood the topic very well and had good practical examples

I found it very informative and was encouraged to follow up on subjects contained