Pricing IRDs: OIS Discounting, Risk, Operations and Audit

The Fundamental Review is introducing a raft of new requirements, ranging from desk level approval of market risk models to the treatment of market illiquidity in the modelling process. Risk has arranged for leading regulators from the Trading Book Group of the Basel Committee on Banking Supervision to participate as speakers and panellists, alongside established experts in market risk from the industry. This unique mix of speakers, combined with an academic approach that prioritises discussion and debate means this seminar will provide a truly unique forum for attendees to benchmark their progress and learn about the immediate and long-term impact on market risk management and banks' trading strategies.

> The operational challenges of managing collateral and margin in a CVA sensitive world
> How the use of OIS Discounting has had an impact of pricing methodology and support functions
> Why CVA has become a central part of dealers' derivatives operations, and how it can be priced accurately
> What FVA is, why it is important in pricing, and the arguments for and against charging FVA on uncollateralised positions
> The objectives of hedging CVA and FVA, and the role of the CVA/FVA desk
> The impact of these many challenges on middle office and back office trading functions, particularly in regard to collateral and margin
> The long term risk, compliance and audit requirements for market participants