The Dodd-Frank Act requires swap dealers and many of their clients to clear eligible Interest Rate Swaps through central counterparties. Since clearinghouses use Overnight Index Swap (OIS) discounting for pricing collateralized swaps instead of LIBOR discounting, swap market participants need to thoroughly rethink their traditional swap pricing and risk calculations in the new world of central clearing.
On February 14, 2013 Jie Zhu of Numerix discussed the new market dynamics and practical pricing and risk considerations when using OIS discounting. This webinar covered:
Featured Numerix Speakers:
Jie Zhu, Director, Financial Engineering
Mr. Zhu has worked as a quantitative analyst with numerous companies across financial industry, including BlackRock, Platinum Grove Asset Management, and Numerix. He specializes in interest rates, inflation, and cross-currency vanilla and exotic products and models. In his current role with Numerix, he works to develop new products and models, as well as consults with banks, hedge funds, and asset managers to provide valuation services and training.
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.
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