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EduRisk International(EduRisk国际)
Edu-Risk International
Financial Risk Management Training
Justin Clarke
+353 87 901 4483
justin.clarke@edurisk.ie
risk.ie
Swap Discounting Pricing Using the OIS Curve
Introduction Due to the problems experienced in a number of banks,
the market became acutely aware of credit and liquidity
Since August 2007 and the start of the financial crisis, swap
risks associated with short-term interbank lending.
pricing has undergone a significant revolution. Prior to that
High liquidity and credit premiums started being paid
date, swap pricing was thought to be fully understood and
on interbank Libor funding.
pricing models were considered adequate. Market
Libor rates of different tenors displayed different
participants recognised that there were some
simplifications that were made in the pricing of swaps such proportions of credit/liquidity spread which increased
with term. As an example, this meant that rolling 1
as accounting for counterparty risk, but these were minor
month Libor rates for a longer term (e.g. for 6 months)
in nature and had limited impact on pricing at the interbank
level
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