在全球金融風暴後，衍生性商品市場已發生相當大的改變與進化，市場參與者更加重視交易對手風險(counterparty risk)與融資風險(funding risk)。現今的銀行同業拆借市場(interbank market)，已普遍希望能夠在有擔保交易(collateralized trades)中減輕前述二項風險。因而金融機構開始調整殖利率曲線的建構方法，由依賴LIBOR discounting，同時也重視OIS discounting。
隔夜指數交換利率（Overnight Indexed Swaps，OIS）是衡量對貨幣當局基準利率預期的重要指標，將隔夜利率交換成為若干固定利率，透過支付某個固定利率，換取存續期間內浮動的央行利率的平均水準。OIS與LIBOR之間的利差(spread)，可做為衡量信貸市場緊縮狀況的參考指標，利差高代表銀行間的流動性緊縮，利差低則表示市場流動性佳。
銀行為了維持客戶關係，通常仍維持無擔保交易，但實務上開始運用信用價值調整(credit value adjustment, CVA)及融資價值調整(funding value adjustment)等方法，加以控管交易對手風險及融資風險。
金融風暴後，巴塞爾銀行監管委員會(Basel Committee)與國際主要國家的金融監理機構，均相當重視交易對手風險，並持續檢討衍生性商品市場的監管，如研議設置集中結算對手(central clearing party, CCP)即是一例。
為協助國內金融服務業界掌握國際衍生性商品市場發展趨勢，本基金會特別自日本東京邀請專業人士來台，與大家實務交流，講師擁有金融計量專業背景，且為資深交易部門主管，相關經驗豐富。為期2天的研習中，分享的議題相當實務，包括目前衍生性商品市場發展及風險分析、有擔保交易裡的訂價與避險方式、無擔保交易裡運用OIS、CVA、與FVA等工具，解析實務上如何進行風險控管。
本案獲證券暨期貨市場國際化發展基金經費支援，凡業界人士報名參加，可獲研習費用三成補助。與國外專業人士面對面交流，敬請把握研習機會！
⊙Course description：
The derivatives market has changed and evolved through the financial crisis.
In particular, the market participants have recognized counterparty risk and funding risk. In the interbank market, fully collateralized trades are now common to mitigate counterparty risk and funding risk. Accordingly banks have changed their yield curve construction method to reflect OIS (Overnight Indexed Swap) discounting. Customer trades are still kept uncollateralized due to customer relationship, albeit some have become partially collateralized, and banks have started to use CVA (Credit Value Adjustment) + FVA (Funding Value Adjustment) methodology to manage counterparty risk and funding risk.
The Basel Committee and the regulators in many countries are keeping an eye on the counterparty risk and trying to regulate derivatives market in this respect. Establishing CCPs (Central Clearing Party) is a typical example.
This course deals with the pricing and hedging of collateralized trades and uncollateralized trades, featuring OIS discounting and CVA. Although FVA is fairly a new concept in the industry, FVA will be analyzed and explained as a funding risk management tool
⊙有關研習內容、講座簡歷與費用等資訊，請下載研習課程簡章
⊙研究所學生特惠價：本會針對商管研究所在學學生提供優惠方案，每位僅收$5,000元（報名時請繳學生證正反面影本）！