Derivatives in Risk Management and Trading

Course Description	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: Risk Management Interest Rate Analysts, Sales and Traders Currency Analysts, Sales and Traders Auditors Financial Analysts Portfolio Managers Treasury Managers 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 instruments
, standardisation versus bespoke products
• Central clearing for derivatives
• Margining process and the role of the clearing house

• STIR futures and FRAs and Interest rate swaps
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 exposure
banks, corporations, fund uses
• Spread trading and arbitrage with STIR futures


• Bond futures contract design
the deliverable list
• The concept of the price factor and working out the cheapest to deliver
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 futures
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 value
option premium and the impact of time
• Calculating expected loss
• Review of probability theory
normal distribution and standard deviation
• Volatility types
implied, forecast , historic
• Types of option pricing models
advantages and disadvantages
• Use of models

• delta, gamma, theta, vega and rho
• Applying the sensitivities 
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 applications
using options to hedge with greater flexibility
• Options as insurance or enhancement
• Caps/floors/collars
• Exchange v OTC options

Paul North

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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