Webinar:

Advanced OIS Curve Building: Best Practices


On-Demand Webinar


This event is brought to you in collaboration with PRMIA

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Overview



Please view our on-demand webinar on Advanced OIS Curve Building: Best Practices, hosted by Senior Derivatives Analyst, James Gavin.

Without accurate OIS curve construction, valuation, pricing, and risk output is compromised. Because OIS is the standard funding rate in CSA agreements widely adopted in both the OTC and centrally cleared market, implications of not adopting best practices are significant. During the webinar, James will discuss best practices for building robust OIS curves including:

  • Handling nuances of the short and long ends of the OIS curve
  • Dual-curve stripping and advanced smoothing techniques
  • Dual-curve calibration and hedging long dated OIS-Libor basis risk
  • Incorporating single currency CSAs into a multi-currency environment using USDAUD

Following the presentation, there will be an interactive question and answer period.


Speakers



James Gavin, Senior Derivatives Analyst, FINCAD Client Services
As a Senior Derivatives Analyst, James supports complex FINCAD implementations for clients. These implementations have included highly structured trades and portfolio level solutions such as VaR, CVA and P&L attribution. James also provides project management and quantitative input on project implementations. James comes to FINCAD with a B.Sc. in Financial & Actuarial Mathematics and an M.Sc. in Finance and Capital Markets from Dublin City University (Ireland).

Moderator: Andy Condurache, Director of Exams & Publications, PRMIA
Prior to joining PRMIA, Andy was part of a wealth management team at Merrill Lynch in Washington DC. He received his Bachelor degree in Mathematics, Economics and Business Administration from McDaniel College in Westminster Maryland.