overnight index swap (OIS)

The Challenges and Risks of the IBOR Transition

Wednesday, September 30, 2020

Interbank Offered Rates (IBORs), including the London Interbank Offered Rate (LIBOR), serve as widely accepted benchmark interest rates, and the forthcoming transition is one of the most significant changes for the financial services industry. The unparalleled scale of this industry-wide transition presents considerable challenges, including potential financial, legal, operational, conduct and reputation risks. This blog explores the challenges and risks of navigating the IBOR transition and the adoption of alternative reference rates. Read More

OIS and CSA Discounting

Monday, January 25, 2016

by Quantifi

Prior to the credit crisis, interest rate modelling was generally well understood. Following the crisis, interest rate modelling has undergone nothing short of a revolution. This whitepaper covers the new generation of interest rate modelling based on overnight index swap (OIS) discounting and integrated Credit Valuation Adjustment (CVA) and how this new framework requires a rethink of derivative modelling from first principles and presents significant challenges for existing valuation, risk management, and margining systems.