Numerix Webinar: Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives

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Join Numerix on Wednesday, December 11th at 10:00am EST for a Webinar focusing on Best Practices in Collateral Management

New York, NY – December 9, 2013 – Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management, will host a complimentary webinar on Wednesday, December 11th at 10:00am EST as featured speaker Anna Barbashova discusses best practices in collateral management and delves into the theoretical and practical aspects of CSA discounting.

REGISTER NOW

Effective collateral management is becoming increasingly important to derivative practitioners, as more and more derivative trades are collateralized. According to the ISDA Margin Survey 2013 (June 2013), 73.7% of all OTC derivatives trades (cleared and non-cleared) are subject to collateral agreements, a dramatic increase from pre-crisis levels in 2007, when only 59% of trades had agreements in place. ISDA also estimates that the total collateral in circulation for non-cleared OTC derivative transactions is US $3.7 trillion, an increase of 177% from 2007.

 

As collateralization has become the norm, many market participants have observed a significant impact on valuations due to collateral conditions mandated by the Credit Support Annex (CSA). Flexible collateral posting terms (as well as other CSA terms) can increase the complexity of derivative valuations substantially, and practitioners must rethink their valuation approaches so they align with the terms of the CSA – a practice known as CSA discounting.

Ms. Barbashova will cover:

•    Collateralization – drivers and trends

•    Collateral management – complexities and best practices

•    CSA discounting primer

o    Pricing fully, partially, and non-collateralized deals

•    Managing embedded optionality in CSAs

o    Building Cheapest-to-Deliver (CTD) curves

•    CSA discounting case study

Attendance is complimentary, Registration is required. REGISTER NOW

Featured Numerix Speakers:

 

Anna Barbashova, CrossAsset Product Specialist, Client Solutions Group, Numerix

Ms. Barbashova is a member of the Numerix Client Solutions team, focused on developing market initiatives and the implementation of market standards within Numerix’s core analytics platform – Numerix CrossAsset. Ms. Barbashova holds an MA in Financial Mathematics from Columbia University.

About Numerix

Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. Since its inception in 1996, over 700 clients and 75 partners across more than 25 countries have come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. With offices in New York, London, Paris, Frankfurt, Milan, Stockholm, Tokyo, Hong Kong, Singapore, Dubai, South Korea, India and Australia, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines. For more information please visit www.numerix.com.

Emily Ahearn

Director of Public Relations

Phone 646 898 1294

Email: eahearn@numerix.com

News Source : Numerix Webinar: Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives

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