OIS discounting is the consequence of a renewed understanding of what it means to trade on a risk free basis. This not only impacts the pricing of OTC derivatives, but it significantly restates the risks which presents organisational challenges for banks and financial institutions
15-16 Nov 2017
- Why You Should Attend
Since the global financial crisis many of the assumptions underpinning the foundation of modern finance have been critically examined and questioned. One of the most fundamental questions raised is at what level should future cash flows from derivative trades be discounted? Before 2008 this question would have been quite straightforward to answer, but now the response must be it depends. Where collateral is posted against a derivative position, the consensus view is that overnight index swap (OIS) rate is the correct basis for discounting the underlying derivatives. This is, however, more complex than just using the OIS curve for discounting as pricing is dependent on the type of collateral posted.
The move to OIS discounting also has consequences for risk management as an OIS-discounted derivative portfolio is likely to be exposed to new types of risk that are not traditionally associated with swap books.
OIS discounting impacts on the front office, risk management, finance, middle office, operations, and the quant and technology teams. Successful integration of OIS discounting very much depends on widespread understanding of the implications across the whole organisation.
This workshop is designed to provide both an overview and detailed technical knowledge of OIS discounting for those currently working with or planning a migration to OIS discounting.