The demand for OIS discounting has grown significantly since 2007 where companies found it increasingly difficult to raise funds at the benchmark funding term. As Libor-OIS spreads widened, funders were forced to look to the overnight market which lead to a surge in OIS volume and speculative interest due to ongoing market volatility. Today, the shift in funding terms continues to be driven by market changes in the calculation of daily margin postings and newly imposed rules of collateralization for swaps and futures. As institutions are in the process of migrating to new market standards, questions still remain as to the impact on existing portfolios as well as how to effectively manage instruments with longer dated maturities when spreads in LIBOR v. OIS rates begin to diverge.

The On-Demand Webinar presented by Anna Barbashova in March 2012 reviews the following scenarios:

  • How a swap portfolio’s value differed under each approach, at four snapshots in time:
    • Pre-crisis c.2007
    • At the height of the crisis (Sept. 2008)
    • Two years post-crisis (Sept. 2010)
    • Today
  • If a swap’s “moneyness” (at the money, vs. in or out of the money) makes a difference
  • How a swap’s maturity factors into the calculations
  • The impact of OIS Discounting on risk sensitivity calculations
    • Which risk numbers are right?
    • Should I rethink my hedges?
To view the webinar replay, register on the right side of this page.

Featured Numerix Speakers:

Anna Barbashova, Business Analyst for CrossAsset
Ms. Barbashova is a part of Numerix Client Solutions team, focused on developing market initiatives and the implementation of market standards within Numerix Core analytics platform – Numerix CrossAsset. Ms. Barbashova holds an MA in Financial Mathematics from Columbia.

Moderator: Jim Jockle, Chief Marketing Officer
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

Register for the On-Demand Webinar

Select Form: 

Form #1: On-Demand Webinar

Keep me informed of future webinars from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
newsletter issue - Jan 17, 2022

Thinking Derivatively – January 2022 Newsletter

analyst report

LIBOR Risk Q2 2021 | Libor Transition Nears Its End – Five Topics You Need to Know

content collection

Numerix Quant Tech Resource Hub

on-demand webinar

SRP Europe Conference 2021: Optimizing Financial Valuations to Improve Investor Experience

on-demand webinar

QuantMinds 2020: Modelling Energy Curves for XVA

on-demand webinar

Quantitative R&D Innovations Update

on-demand webinar

Neural Networks with Asymptotics Control

on-demand webinar On-Demand Webinar | LIBOR Telethon: Derivatives, Trading and Liquidity

on-demand webinar

The Impact of New Alternative Reference Rates on ​Curve Instruments and Curve Modelling

written blog

Leading Numerix Through the Pandemic: Taking Action that Makes a Difference

written blog

How to Make the Smart Investment in FinTech

on-demand webinar

Adapting Market Risk Management Practices Amidst COVID-19