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Modelling OIS & CVA

A one day modelling course focused on building OIS/CSA curves, calculating expected exposure, the probability of default exposure, the probability of default and Credit Value Adjustment.

TITLE: Modelling OIS & CVA
FEE: Member - $935.00 including GST
Non Member - $1,166.00 including GST
available as in-house only

About the Speaker

Ben Watson, CEO, Maroon Analytics Australia

Ben Watson is the CEO of Maroon Analytics Australia, a Quantitative Analytics Consultancy that helps Banks and Financial institutions with any aspect of their quant requirements. Maroon has been helping its clients with some of the more complex issues that they face today, such as OIS discounting, FVA, CVA/DVA and quantitative impacts of regulation.  

Ben came to the Maroon business with 22+ years working for Investment Banks as a Quantitative Analyst. Up to 2012 he was the APAC regional head of the Quant function for RBS and before that the local head of Quant at ABN AMRO Australia.  He has a long track record of building real time pricing and risk management systems for traders and risk management teams. In 2012 he managed the successful OIS migration of a large derivatives trading book for a global bank. 

Who is this for?

This workshop is ideal for anyone who needs the tools to be able to price and value OTC derivatives or who are interested in creating their own pricing models.

how you will benefit

  • you will be presented with the fundamentals required for pricing OTC derivatives
  • you will gain the modelling skills to be able to price derivatives
  • this is a hands-on class that is focused on deriving working models
  • this course aims to give delegates the confidence to address other financial modelling problems
  • you will have a working spreadsheet that you will be able to further develop to suit your particular needs.


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