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Pricing IRDs: OIS Discounting, Risk, Operations and Audit

Incisive Training
Course summary
Length: 2 days
Price: 1,150 GBP excl. VAT
Location: London
Next available date: Enquire for details - London
Course type: Open / Scheduled

Course Description

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

Pricing IRDs: OIS Discounting, Risk, Operations and Audit - 2-day course by Incisive Training

This Pricing IRDs: OIS Discounting, Risk, Operations and Audit course explores the ways in which OIS discounting has influenced pricing methods, the effects it has had on middle and back office functions and the resulting implications for internal audit and compliance teams. 

Delivered by a number of highly experienced speakers, the 2-day programme will provide delegates with a solid overall knowledge of:

  • the operational challenges of managing margin and collateral in a CVA sensitive environment
  • how OIS discounting affects pricing methods and support functions
  • how and why CVA has become a focal point of dealers' derivatives operations
  • FVA, its role in pricing and the pros and cons of charing FVA on uncollateralised positions
  • the goal of hedging CVA and FVA and the role of the CVA/FVA desk
  • the impact of all the above on middle and back office functions
  • the long-term risk, audit and compliance requirements for market players

Suitability - Who should attend?

This Pricing IRDs course is suitable for professionals working in financial institutions, advisory firms and regulatory bodies.

Specific job titles/functions include:

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

Outcome / Qualification etc.

This course is worth 12 CPD credits.

Training Course Content

The training sessions cover the following topics:

Day 1

  • Practical Pricing 1: applying standard modelling methods
  • Practical Pricing 2: case studies applying models to products
  • Practical Pricing 3: case studies applying OIS discounting
  • Practical Pricing 4: further case studies applying OIS discounting

Day 2

  • Collateral, Counterparty Risk, and CVA
  • Pricing CVA on Interest Rate Products
  • Introduction to FVA Theories and use in Pricing Uncollateralised Positions
  • Risk & Control Assessment in Valuation: Internal Audit Perspective

Expenses

The cost of this course for one delegate is:

Registration before October 21st - £949 + VAT
Registration after October 21st  - £1,150 + VAT

Fees include:

  • comprehensive conference/seminar materials
  • morning, lunch and afternoon refreshments

Provider: Incisive Training

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