CPD Events

Multi-curve and Collateral Framework

09 Nov 2021

About the event

Since the 2007 financial crisis; the interest rate markets have changed dramatically with the generalisation of Variation Margin (VM) frameworks and the increased impact of credit spreads embedded in IBOR benchmarks. These market changes lead to major adaptations to interest rate modelling. The VM's remuneration is impacting all valuations and different IBOR benchmarks are linked to different curves; represented respectively by the collateral discounting framework and the multi-curve framework. This workshop will review those two frameworks in a coherent setting; from the foundations to the practical implementations; in particular the curves calibration and risk management repercussions.

CPD Provider

Fitch Learning

Fitch Learning

Fitch Learning

Part of the Fitch Group, Fitch Learning partners with clients to enhance knowledge, skills and conduct. With centers in London, New York, Chicago, Singapore, Dubai and Hong Kong, we are committed to questioning and understanding client needs across the globe and on the ground locally. Our people advise and build learning solutions to accelerate the achievements of the individual and the company, across the entire employee lifestyle. Our courses cover a wide range of financial topics across ten sectors: • Corporate Credit Analysis • Bank Analysis • Insurance Company Analysis • Corporate Finance • Risk Management in Financial Institutions • Structured Finance & Securitization • Non-Bank Financial Institutions • Modeling & Excel • Capital Markets & Investment • Professional Skills Fitch Learning also offers customized, in-house training to meet your specific requirements. We work with our clients to define your needs and work in partnership with you to deliver truly blended, innovative solutions. Our extensive expertise and global teams mean that we can deliver across a range of industries and subject matter.

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