Valuation of IR Derivatives in a new Regulatory Environment Speakers: Eduardo Pereira Risk and Regulation Specialist: Bloomberg L.P Bernardo Santos Andrade Senior Manager, Toyota Motor Finance (Netherlands) B.V Dutch Association of Corporate Treasurers Event: Hotels Van Oranje, Noordwijk, The Netherlands. 11 th November 2013.
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Valuation of IR Derivatives in a new Regulatory Environment Speakers: Eduardo Pereira Risk and Regulation Specialist: Bloomberg L.P Bernardo Santos Andrade.
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Valuation of IR Derivatives in a new Regulatory Environment
Speakers:
Eduardo Pereira Risk and Regulation Specialist: Bloomberg L.PBernardo Santos Andrade Senior Manager, Toyota Motor Finance (Netherlands) B.V
Dutch Association of Corporate Treasurers Event: Hotels Van Oranje, Noordwijk, The Netherlands.
11th November 2013.
Agenda
• OIS Discounting: A new valuation framework;• CSA Agreements;• CVA;• CSA Agreements – Bloomberg ‘MARS’ solution;• TMFNL: Collateral Operation Case Study.
OIS Discounting
• Prior to Credit Crisis credit & liquidity effects were largely ignored in IR derivatives pricing
• Subsequent to Credit Crisis – Stronger Focus on Counterparty Risk (Credit)
• Evaluating Exposure• Risk Management
– Stronger Focus on Funding (Liquidity)• Divergence between “risk free” rates and funding levels• Funding arbitrage opportunities
• New framework required as credit & liquidity effects can no longer be ignored in pricing