LIBOR vs. OIS: The Derivatives Discounting Dilemma
LIBOR vs. OIS: The Derivatives Discounting Dilemma. Introduction. The “risk-free” term structure of interest rates is a key input to the pricing of
The FVA Debate
“LIBOR vs. OIS: The Derivatives Discounting Dilemma”. Journal of Investment Management Valuing Derivatives: Funding Value Adjustment and Fair.
LIBOR vs. OIS: The Derivatives Discounting Dilemma
LIBOR vs. OIS: The Derivatives Discounting Dilemma. Introduction. The “risk-free” term structure of interest rates is a key input to the pricing of
64-83 OIS Discounting Interest Rate Derivatives
http://www-2.rotman.utoronto.ca/~hull/downloadablepublications/OIS_Discounting.pdf
Derivatives Discounting Explained Wujiang Lou1
Nov 27 2019 forged a consensus to discount such derivatives at the OIS curve
euro area riskxfree interest rates: measurement issues recent
White “LIBOR vs. OIS: The Derivatives Discounting Dilemma”
The FVA Debate
Jul 13 2012 Hull
Synthetic forwards and cost of funding in the equity derivative market
Jan 2 2022 LIBOR vs. OIS: The derivatives discounting dilemma
JOHN C. HULL
Investment Management in 2013. The paper is entitled “LIBOR vs. OIS: The. Derivatives Discounting Dilemma” (with Alan White).
[PDF] LIBOR vs OIS: The Derivatives Discounting Dilemma
Most derivatives dealers now use interest rates based on overnight indexed swap (OIS) rates rather than LIBOR when valuing collateralized derivatives LCH
LIBOR vs OIS: The Derivatives Discounting Dilemma
4 fév 2013 · This paper examines this practice and concludes that OIS rates should be used in all situations Keywords: LIBOR OIS Derivatives Discounting
Libor vs OIS: The Derivatives Discounting Dilemma Request PDF
Traditionally practitioners have used LIBOR and LIBOR-swap rates as proxies for risk-free rates when valuing derivatives This practice has been called into
LIBOR vs OIS: The Derivatives Discounting - DefaultRiskcom
This practice has been called into question by the credit crisis that started in 2007 Many banks now consider that overnight indexed swap (OIS) rates should be
LIBOR vs OIS: The Derivatives Discounting Dilemma - PDF Free
Dataline A look at current financial reporting issues No 2013-25 December 10 2013 What s inside: Overview 1 Background 2 OIS discounting an illustration
[PDF] Derivatives Discounting Explained Wujiang Lou1 - arXiv
22 déc 2017 · The practice of discounting derivatives cash flows exclusively at the LIBOR is thus no longer appropriate and LIBOR itself has been subject to
[PDF] OIS DISCOUNTING INTEREST RATE DERIVATIVES AND THE
In this section we review the procedures for bootstrapping a riskless zero curve from LIBOR swap rates We start by examining how bonds and swaps are priced
LIBOR Versus OIS: The Derivatives Discounting Dilemma
14 juil 2014 · This paper examines this practice and concludes that OIS rates should be used in all situations 0 comments add one Please Login to post a
[PDF] A Teaching Note on Pricing and Valuing Interest Rate Swaps Using
With OIS discounting the result that the implicit floating-rate bond paying LIBOR is priced at par value no longer holds It is useful to infer the LIBOR
[PDF] The Multi-Curve Framework: A Practitioners Guide - Canopee Group
For several years practitioners have build a single curve to discount and forecast cash flow within interest rate deriva- tives market
What is the difference between LIBOR and OIS?
3-month LIBOR is generally a floating rate of financing, which fluctuates depending on how risky a lending bank feels about a borrowing bank. The OIS is a swap derived from the overnight rate, which is generally fixed by the local central bank.What is the difference between Ted spread and LIBOR-OIS spread?
Indicator of Counterparty Risk
The TED spread is an indicator of perceived credit risk in the general economy, since T-bills are considered risk-free while LIBOR reflects the credit risk of lending to commercial banks.What is OIS discounting?
OIS discounting is the standard methodology for valuing cash-collateralised derivatives contracts using overnight index swap rates – the rate that would be paid by the collateral receiver to the poster. Previously, Libor was used to discount all derivatives.- The major reason for switching from using LIBOR to the OIS as a term structure for pricing interest rate swaps is that OIS discounting better reflects the counterparty credit risk in a collateralized interest rate swap.
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