Banks in Australia are actively embracing OIS discounting for the pricing of collateralised derivatives. By doing so they are maximising their profit opportunities by factoring counterparty credit risk into pricing and valuation. Operating an OIS discounted approach requires business sophistication across the whole spectrum of a bank’s operation. This workshop is designed to explain the rationale behind OIS discounting and to reveal the more complex elements that it demands.
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.
This workshop is ideal for anyone whose work is affected by OIS discounting or who is likely to be impacted by an OIS migration.
Upon completing this workshop you will be able to:
The presenter clearly understood the topic very well and had good practical examples
I found it very informative and was encouraged to follow up on subjects contained