Miniworkshop: Practitioner's Day
Time: Mon, September 08, 2008, 14:45-15:30
Speaker: Stefan Fink
Abstract
As a mid-size regional bank in upper Austria, RLB Oberoesterreich deals with a diversified range of structured interest rate derivatives. Although the size of the transactions is limited, robust and reliable tools for both trading and risk controlling are indispensable. In order to avoid hardware overkill or poor computing performance, efficiency and flexibility are cornerstones for these models to come up with. On the other hand, even simple exotics such as Bermudan swaptions exhibit a significant degree of model risk which, especially for traders, has to be covered by the pricing systems in use.
We show two typical examples for pricing problems- both from a trader and a risk manager's perspective and demonstrate the relevant tools and models in use by RLB OOE.
Presentation slides (pdf, 1.2 MB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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