OIS Discounting and ColVA 2018 | Marcus Evans | 26 February 2018 | Grand Copthorne Waterfront Hotel, 392 Havelock Rd, Singapore 169663

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 organisation challenges for banks and financial institutions.

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.