Advanced OIS Curve Building: Best Practices
Overview
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.
In this webinar, James discusses 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
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).
Michael Kane, Commercial Manager, Chartis Research
Michael has a background of more than 20 years in sales, marketing, and business development roles for leading technology companies such as NEC and Tseng Labs. As the Director of Marketing for QUMAS, he established the company as a leader in the Governance, Risk, and Compliance space with the press and analysts. Michael was also a Vice President at Lois Paul and Partners (a Fleishman-Hillard company), where he set the strategic direction for analyst relations and public relations for Lotus Development Corporation's mainstream products. Michael has a BA from Penn State and an MBA from Suffolk University.