The derivative markets have changed dramatically since the 2008/2009 financial crisis. Regulatory reform and structural changes to the markets have resulted in increased collateralization of trades and a move to central clearing of vanilla trades. And market practitioners – and regulators – are much more focused on counterparty risk than they ever have been in the past.

Many of these changes have had an impact on how derivatives are fundamentally priced. Collateral choices impact the discounting curves used in valuations. Credit Support Annex (CSA) terms can be complex and add embedded optionality to a derivative. Counterparty risk becomes embedded in the mark-to-market value via Credit Value Adjustment (CVA). So now even the simplest of derivatives – like vanilla interest rate swaps – are much more difficult to value accurately.

On December 13, 2012 featured speaker Dan Li discussed how vanilla derivative valuations have become very complex, and how to deal with this new complexity. This webinar covered:

  • Discussion of “the new normal” for derivative valuations

    • Collateralization’s impact and the move to a multi-curve pricing framework

    • Embedded optionality from CSAs

    • CVA now part of mark-to-market value

  • Interest rate swap valuations – revisited

    • Multi-curve pricing basics

    • Multi-currency CSAs and Cheapest-to-Deliver (CTD) curve construction

    • Pricing Alignment Interest (PAI) – what is it, and why is it needed?

    • CVA – adding significant complexity to valuations

  • Additional considerations and looking to the future

To view the webinar replay, just register on the right side of this page.

Dan Li, VP Financial Engineering, NumerixFeatured Numerix Speakers:
Dan Li, Vice President, Financial Engineering
Dan Li is a Vice President of Financial Engineering at Numerix in New York, in charge of Fixed Income (including Interest Rate, Cross Currency, Credit, Inflation, and Hybrid derivatives) and responsible for modeling, structuring, valuations and risk analytics.

Prior to Numerix, Mr. Li worked as a Quantitative Analyst on fixed income and equity trading desks in proprietary trading firms in Chicago and performed econometrics consulting in Texas. Mr. Li holds Masters degrees in both Computer Science and Economics/Finance from Texas A&M University and is currently a PhD candidate in Management Science/Finance at the Illinois Institute of Technology in Chicago.

Jim Jockle, Senior Vice President, MarketingModerator: Jim Jockle, Senior Vice President, Marketing
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
live webinar

LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help

white paper

White paper | The State of XVA Usage in Latin America – A 2022 Update

newsletter issue - May 10, 2022

Thinking Derivatively – May 2022 Newsletter

white paper

White paper | Decrypting Crypto - Part 2: Understanding the Requirements for Successful...

white paper

White paper | Decrypting Crypto - Part 1: Explaining the Market from an Institutional Perspective

newsletter issue - Apr 12, 2022

Thinking Derivatively – April 2022 Newsletter

white paper

Checklist | Where are you in your SEC Rule 18f-4 implementation?

product collateral

NxCore for Partners - Comprehensive Capital Markets System Development Platform

product collateral

NxCore Cloud - Accelerate your Capital Markets System Development

white paper

Article | Archegos Collapse Raises Red Flags About Risk Management Systems—and Underscores Need for...

newsletter issue - Mar 16, 2022

Thinking Derivatively – March 2022 Newsletter

white paper

White paper | The XVA Challenges Energy Traders Face in a Complicated and Volatile Market