Overnight indexed swap (ois)
Legacy issues and the lack of alternative benchmarks mean Libor will remain the default benchmark of choice for OTC transactions
The move towards OIS discounting is proving difficult enough for banks in US and European markets but firms in Asia are facing the added difficulty of a dealing with multiple currencies
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Overnight indexed swap (ois) articles
The spread between Libor and overnight index swap rates used to be negligible – until the crisis. Its behaviour since can be explained theoretically and empirically by a model driven by typical lenders’ liquidity and typical borrowers’ credit risk....
Dealers were first to embrace the move to overnight indexed swap discounting, but other market participants are now trying to get up to speed, resulting in the creation of a range of new tools. But are buy-side firms moving fast enough? By Clive Davidson...
US inflation markets have been through some major events in 2012, including the launch of open-ended quantitative easing and knock-on effects from the forced unwind of Greek asset swaps. Against a backdrop of continued economic uncertainty, a raft of...
As 2012 drew to a close, Goldman Sachs was involved in the first trades using the new standardised credit support annex (CSA), a document that had been in the works for two years. That was entirely appropriate. Goldman played an active part in the design...
The one-curve world of pre-crisis modelling is long gone – now derivatives desks need to use a variety of fixings depending on the product traded. Here, Fabio Mercurio and Zhenqiu Xie show how a stochastic multi-curve world can be modelled excluding...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
UK, 12th Feb 2014
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