Delegate places only £1000 if you register by Friday October 4th

Implementing New Derivative Valuation Methodologies

London
12 November 2013

Course Highlights:

  • Re-introduction to basics of modelling: bootstrapping, zero-curve building
  • Examples of how pricing models are applied to interest rate products
  • Case study on building OIS-LIBOR, OIS Forward and OIS Swap Curves and the pitfalls to avoid
  • Presentation on complexities of pricing FVA; impact on audit, compliance, middle and back office, and treasury
  • Presentation on the scope and application of IRFS 9
  • Internal audit perspective on compliance, risk and price controls for IRD and other products
  • Presentation on new margin requirements (WGMR) and the material impact on pricing

Learning Outcomes:

  • The impact on derivatives pricing of the new accounting rules - IFRS 9
  • The significance for the buy-side of the shift to OIS discounting
  • How to implement OIS discounting throughout a financial institution
  • What FVA is, and why it has risen to prominence
  • How to calculate FVA for uncollateralised derivatives positions
  • How to implement the FVA process into a pricing mechanism
  • The potential impact on capital and collateral management of the WGMR rules
  • The growing importance of collateral and capital considerations in pricing derivatives
  • The importance of a robust model risk strategy and how to implement model validation

Course Tutors

  • Frank Mulder, Senior Rates Trader, Rabobank International
  • Igor Smirnov, Head of Fixed Income Quants, Europe, Banco Santander
  • Mieke Wennekes, Senior Supervisor Oversight, De Nederlandsche Bank
  • Prof. Moorad Choudhry, Department of Mathematical Sciences, Brunel University
  • Miltos Drandakis, Director, Global Pricing Unit, Royal Bank of Scotland

 

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