Pricing IRDs: OIS Discounting, Risk, Operations and Audit

New York 25 & 26 March, 2015

About the Course

Join us on this two day course which will provide examples of how OIS discounting has impacted on pricing methods, how and why this effects middle and back office functions, as well as the consequences for compliance and internal audit groups.


Learning Outcomes

  • The operational challenges of managing collateral and margin in a CVA sensitive world
  • How the use of OIS Discounting has had an impact of pricing methodology and support functions
  • Why CVA has become a central part of dealers' derivatives operations, and how it can be priced accurately
  • What FVA is, why it is important in pricing, and the arguments for and against charging FVA on uncollateralised positions
  • The objectives of hedging CVA and FVA, and the role of the CVA/FVA desk
  • The impact of these many challenges on middle office and back office trading functions, particularly in regard to collateral and margin
  • The long term risk, compliance and audit requirements for market participants



  • David Li, Director - Quantitative Analysis, Citigroup
  • Suyan Liu, Leading Quant for Counterparty Risk CVA and Exposure Modelling , Bloomberg
  • Claudio Guerrera, Director - Internal Audit, Barclays
  • Dongsheng Lu, Managing Director, Head of Derivatives Research, BNY Mellon
  • Brian Chung, Director - CVA Trading, RBS


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February - March 2015 Training Schedule