White Paper – Jun 18, 2018

LIBOR Alternative Rates: The Transition and the Future of OTC Derivatives Pricing and Curve Construction

LIBOR might never officially go away, but after the end of 2021 the FCA will no longer compel banks to use LIBOR as the benchmark for short-term interest rates in the interbank market. While it will be up to the panel banks to decide LIBOR’s... Read More

Featured OIS Discounting and LIBOR Research & Insights

White Paper – Feb 1, 2018
LIBOR: Its Astonishing Ride and How to Plan for Its End

In this research paper, Andrew McClelland PhD and Financial Engineering specialist at Numerix, examines the differences between risk-neutral dynamics and real-world dynamics, and the important role of risk premia.

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On-Demand Webinar – Jun 8, 2012
Impact of OIS Discounting

Valuation Approaches Re-examined

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Written Blog – Apr 16, 2012
OIS Discounting

Facing the New Level of Complexity

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On-Demand Webinar – Feb 14, 2013
OIS Discounting Revisited - Swap Pricing in a Centrally Cleared World

The Dodd-Frank Act requires swap dealers and many of their clients to clear eligible Interest Rate Swaps through...

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Event Recording – Jun 20, 2015
OIS Discounting Fast Track

Get up to speed quickly on OIS discounting – from foundations to advanced applications

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White Paper – Dec 1, 2013
The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics

This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts.

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Written Blog – Mar 20, 2018
The Top LIBOR Developments You Need to Know

By Liang Wu, Vice President of Financial Engineering and Head of CrossAsset Product Management, Numerix LIBOR...

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What Road Are You On? Determining a Path Forward in OIS Discounting
Often in life we hit a point where paths converge, we look back behind us at a dusty beaten trail and forward at a newly paved road. It may not always be obvious though which path will be easier. Few want to be the first to test new terrain or see...
Written Blog
OIS Discounting | What Road Are You On?

In this info graphic, Numerix asks "Which Road Are You On?" and explores the impact of the paradigm shift between a single curve LIBOR swap pricing framework and a multi-curve OIS discounting framework, as well as the potential pitfalls of the...
Info Graphic
Toyota Financial Services CrossAsset/OIS Case Study
Numerix provided TFS with the advanced and flexible analytical application it required to be ready to value its entire portfolio on a daily basis,using an OIS based methodology. With Numerix, TFS also gained the capability to structure and value...
Case Study
Swap Pricing at its Core: OIS Discounting and Curve Construction
Since July 2013 when the Financial Accounting Standards Board (FASB) issued guidance permitting firms to use the Fed Funds Effective Swap Rate (Fed Funds rate), or Overnight Index Swap (OIS) rate for derivatives discounting both buy- and sell-side...
Written Blog
FASB Shakes Up Hedge Accounting Standards - OIS Rate Adopted as New Benchmark

While OIS has emerged as the proxy for the risk-free rate and continues to emerge as the new standard for collateral discounting in the OTC markets, the story continues to evolve. In late July the Financial Accounting Standards Board (FASB)...
Video Blog
The True Cost of OTC Derivatives Funding - FVA, OIS and Profitability

Watch the Video: The True Cost of OTC Derivatives Funding - FVA, OIS, and Profitability
The question at the root of the OTC derivatives decision process, "Is this trade profitable?", may at its core seem like a simple proposition. But in the...
Video Blog
The Fundamentals of OIS Curve Construction - Where to Start

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...
Video Blog
Lack of local currency OIS markets problematic for Asia banks
Risk.net | June 26, 2013 | By Clive Davidson
Anna Barbashova of Numerix discusses the impact of OIS pricing and valuation on derivatives pricing.
In The News
Economic Value Adjustment – The Intersection of CVA, FVA, OIS, & CSAs for OTC Derivatives

In this video blog, Numerix experts discuss the historical context and interconnectivity between OIS discounting, cheapest-to-deliver, funding valuations adjustments, CVA, DVA, and CSAs – and why the entire Economic Value Adjustment is now critical...
Video Blog
OIS Discounting - To Clear Or Not To Clear?

Following the 2008 financial crisis, OTC derivative market participants have come to realize that the valuation of derivatives requires forecasting curves dependent on an underlying index? in addition to separate discounting curves dependent on...
Video Blog

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