Derivatives in Risk Management and Trading
What Will You Learn
Main Topics Covered During This Training
Who Should Attend
From Investment Banks, Corporates and other financial institutions - Managers and Professionals from the following departments:
And anyone who has an exposure to derivatives and want to learn more about them.
Derivatives in Risk Management and Trading - A 2 Day Programme
Derivative Products Overview
- Listed derivatives versus OTC instrumentsÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨, standardisation versus bespoke products
- Central clearing for derivatives
- Margining process and the role of the clearing house
- STIR futures and FRAs and Interest rate swapsÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨contract design and terminology
- Working out the appropriate hedge ratio
- Understanding basis and basis risk in a hedge
- Working out a forward interest rate
- Calculating the value of a swap
- Examples of managing interest rate exposureÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨banks, corporations, fund uses
- Spread trading and arbitrage with STIR futuresÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨
- Bond futures contract designÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨the deliverable list
- The concept of the price factor and working out the cheapest to deliverÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨the implied repo rate, net basis calculation
- Calculating the simple hedge ratio
- Working out the bpv hedge
- Bond futures and portfolio management
- adjusting the duration of a portfolio
- Bond spread trading and basis trading using futures
- Contract design for individual and index futuresÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨cash settlement
- Equity swaps v futures
- Using index futures for asset allocation
- Synthetic portfolio replication
- Working out the futures price and arbitrage
- Intrinsic and time valueÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨option premium and the impact of time
- Calculating expected loss
- Review of probability theoryÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨normal distribution and standard deviation
- Volatility typesÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨implied, forecast , historic
- Types of option pricing modelsÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨advantages and disadvantages
- Use of models
- delta, gamma, theta, vega and rho
- Applying the sensitivities ÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨trading and hedging purposes
- Position analysis
Case study 10: Demonstrate how option sensitivities are applied to manage risk
- Main strategies explored
- Call/put spreads e.g. straddles, strangles, butterflies
- Synthetic relationships
- Hedging applicationsÃƒÂ¢Ã¢â€šÂ¬Ã‚Â¨using options to hedge with greater flexibility
- Options as insurance or enhancement
- Exchange v OTC options
Paul has over 20 years experience of working and teaching in the financial and derivatives industry. Paul joined the London International Financial Futures and Options Exchange (LIFFE) in 1988, spending several years on the exchange trading floor before transferring to LIFFE’s Business Development Department.
During his time at LIFFE, Paul worked in the fields of broker relations, product research and development, marketing, market automation and education. Paul was Head of Education at LIFFE, before leaving in December 1998 to pursue a freelance career in financial education and consultancy.
Paul is also a qualified teacher and has extensive speaking experience both in the UK and abroad, covering all the major aspects of financial markets. Paul has taught delegates from virtually all of the worlds leading investment banks, funds and trading houses. His list of clients includes JP Morgan, Goldman Sachs, Credit Suisse, Societe Generale, Deutsche Bank, Merrill Lynch, Morgan Stanley, Barclays Capital among others.
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