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Ois Discounting - Emerging Best Practices


United Kingdom

06 - 07 Dec, 2012  2 day

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This practical course is designed to give you the tools to create an OIS Curve for discounting purposes. The opaqueness of bank balance sheets and the speed with which some financial institutions became distressed means that even one-month LIBOR can no longer be regarded as risk-free. The new risk-free rate is the OIS/Eonia1 rate obtained by compounding the overnight interest rate at which LIBOR-rated banks borrow. This course also will explore further insights into bootstrapping LIBOR curves from OIS rates, as well as interpolation issues and applications to swap pricing

Central London Hotel Dec 06 - 07 Dec, 2012
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44 (0)20 7779 7391