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The Fundamentals of OIS Curve Construction - Where to Start | Numerix Video Blog

Posted by Cristin Riffle on July 18, 2013 at 18:43
Views: 169
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Tags: overnight, index, swap, libor, discounting
http://blog.numerix.com | In this video blog Numerix CMO, Jim Jockle speaks with Olga Us, Senior Quantitative Analyst about her recent PRMIA Master Class lecture, "OIS discounting Valuation Approaches Re-examined." Olga explains the drivers behind this paradigm shift in derivative valuation practices form single curve LIBOR discounting to a dual curve approach. Olga offers expert insights into key considerations for successful curve construction with OIS -- outlining the complex challenges faced and how to manage the process. She concludes with audience reaction to the lecture, addressing key questions received and potential solutions.

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