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Vol II, Issue 9 September 2014
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In This Month's Issue
 Back by popular demand, we are reintroducing the OIS Discounting Master Class video series, presented by Numerix and PRMIA.
This seminar provides hands-on technical instruction around OIS discounting best practices – from curve building and collateral considerations, to managing embedded optionality of CSAs and mastering the fundamentals of Funding Value Adjustment (FVA).
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.
VIRTUAL SEMINAR PRESENTATIONS
INCLUDE:
PRESENTATION I – Two Curves: Libor, OIS and Multi-Currency Option
Presenter: Moorad Choudhry – Author, Principles of Banking and Professor at the Department of Mathematical Sciences, Brunel University
Watch Now
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PRESENTATION II – OIS Discounting - Valuation Approaches Re-examined
Presenter: Olga Us – Senior Quantitative Analyst, Numerix
Watch Now
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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 provide insights into the pricing challenges present in the evolving funding dynamics for OTC Derivatives - including complications from optionality embedded in Credit Support Annexes (CSAs).
VIRTUAL
SEMINAR PRESENTATIONS INCLUDE:
PRESENTATION I - Derivative Funding Costs, Funding Policy and FVA
Presenter: Moorad Choudhry – Author, Principles of Banking and Professor at the Department of Mathematical Sciences, Brunel University
Watch Now
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PRESENTATION II – Funding Valuation Adjustment for OTC Derivatives
Presenter: Ion Mihai, PhD, Client Technical Solutions Group, Numerix
Watch Now
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Most Watched Videos
Insurance Trends: The Evolving Variable Annuity Landscape
A Primer on Funding Value Adjustment (FVA)
Using Cheapest-To-Deliver (CTD)
Collateral for Accurate OTC Derivatives Valuation
The Fundamentals of OIS Curve Construction - Where to Start
Exploring the ISDA Standard Initial Margin Model
Most Read Blogs
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Expert Insights | Q&A Interview: Considering Collateral – An Expert View with Anna
Barbashova The use of collateral and the implementation of collateral management techniques have changed dramatically with the evolution of financial regulatory reform.
As mandatory CCP clearing for standardized products have come into effect, bilateral margining for non-cleared swaps remains uncertain.
While margin requirements are driven by each CCP's individual methodology – regulators have proposed even greater and more stringent margin and collateral requirements for non-cleared OTC trades, where both initial and variation margin must be posted.
As part of this change, managing margin requirements in careful balance with collateral optimization techniques remain two of the most important issues impacting today's derivative marketplace. Read Blog
Video Blog | Consumerization of IT: Virtualization, Cloud and the User Experience
 In this video blog, Michael Pasacrita, Web Applications Developer at
Numerix speaks with Jim Jockle, CMO about the consumerization of IT and how it's being developed, managed and adopted across financial institutions.
Michael and Jim examine the various business uses of these technology developments, and how they're being implemented by the end user.
Michael addresses the debate around virtualization versus cloud computing and importance of UI within the financial industry. Watch Now
Case Study | Toyota Financial Services (TFS) Learn how Toyota Financial Services gained more
control and transparency over its portfolio and for valuing its derivatives and bonds on a single platform, daily basis using Numerix.
Read how TFS is also planning to adopt new FASB accounting rules for valuing derivatives by using Overnight Index Swap (OIS) discounting, in line with capital markets best practices, using the Numerix platform. Read Case Study
Industry News | Numerix Client Toyota Financial Services Wins Risk Management Award  Earlier this summer, over 200 people gathered in Plaisterers' Hall, London, for the seventh Adam Smith Awards.
The Awards have gained global recognition as the ultimate benchmark, and this year's winners truly showcase the very best across the whole industry.
Congratulations to Toyota Financial Services on their Treasury Today Adam Smith Awards 2014 win! Our team was proud to partner with TFS
on this tremendous achievement! Read More About the Awards
September 17 | Numerix Webinar - CVA in the Brazilian Market
September 24 | Numerix Webinar - Introduction to Initial Margin
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