Financial Risk Management
London & Dubai - Contact us to find out future dates of this course.
Description
This three day programme is designed primarily for those who either consult companies on how to manage their FX and interest rate exposures, or are involved in corporate treasury and risk management functions.
First day introduces the risk management tools and concentrates on deriving a consistent methodology for the valuation of these instruments. You will learn about risk management products incluidng Fras, swaps, futures and options as well as mark-to-market and cash flow apporaches.
Day two is exploring different strategies to manage interest rate risks for linear and non-linear derivatives and during the third day you will be taken through strategies to manage currency risks.
This is very hands-on course with many practical exercises and computer-based demonstrations. You will have a chance to learn the latest strategies to manage those two critical types of financial exposure.
Main Topics Covered During This Training
- Understanding the risk management products including FRAs, swaps, futures and options
- Mark-to-market valuation
- Valuing linear instruments
- A primer in option valuation
- Using interest rate derivatives with linear payoffs
- Using non-linear interest rate derivatives
- Managing currency risks with forwards, swaps and options and packaged solutions
- Using exotic option in FX risk management
Who Should Attend
From Investment, Corporate 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
Teaching Method
This is a very interactive course with many exercises, classroom discussions and case studies.
You will benefit from comprehensive take away course documentation.
In order to help us establish your individual and business concerns, you will be asked to fill pre-course questionnaire.
Because of the nature of the course the number of places is limited and will be filled on first come, first accepted basis. We advise to book in advance in order to avoid disappointment.
Delegates are expected to bring a laptop with Microsoft Excel. If necessary, we can provide a laptop for an additional fee.
Financial Risk Management - A Three Day Programme
Individual days can be booked
Day 1: The Tools of Risk Management and Principles of Derivatives Valuation
Day 2: Managing Interest Rate Risks
Day 3: Managing Currency Risks
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DAY 1: THE TOOLS OF RISK MANAGEMENT AND PRINCIPLES OF DERIVATIVES VALUATION
Understanding the [Risk Management] Products (1)
- What financial risks are corporates exposed to?
- How are they managed?
- The risk management products
- FRAs
- Swaps
Understanding the [Risk Management] Products (2)
- The role of exchange traded futures contracts
- Understanding the Clearing House guarantee
- Initial and variation margins
- Short-term interest rate futures
- Long-bond futures contracts
- Understanding the contract specification
- Defining price factors
- What is the “cheapest-to-deliver” bond?
- Distinguishing between OTC and exchange traded products
Understanding the [Risk Management] Products (3)
- Option instruments
- An options primer
- Terminology
- Understanding the pay-off profiles
- Combining options
- Put-call parity and synthetic positions
PRINCIPLES OF DERIVATIVES VALUATION
The Mark-to-Market Approach
- Why is the mark-to-market approach important?
- Understanding the principles of the time value of money
- Creating the inter-bank discount curve from traded instruments
- Bootstrapping techniques
- Interpolation methods
- Understanding the role of spot and forward curves
Valuing Linear Instruments
- Understanding the cash flow approach to valuation
- Understanding the arbitrage-free model to forward pricing
- Marking-to-market a simple FRA
- Marking-to-market an interest rate swap
- Calculating the replacement cost of a currency swap
A Primer on Option Valuation
- Why its important to understand the “fair” price
- Intuitive approach to option pricing
- Time value vs intrinsic value
- Determining what drives the time value of an option
- The Black-Scholes replicating portfolio approach v probabilistic approach
- Understanding the “Greek” sensitivities
DAY 2: MANAGING INTEREST RATE RISKS
Using Interest Rate Derivatives with Linear Payoffs
- Using FRA’s to lock-in forward borrowing and investment rates
- Short-term interest rate futures compared
- Determining hedge ratios
- Stack vs strip hedges
- The problem with short-term interest futures: basis risk
- Using swaps to hedge multiple period risks: cash flow matching
- Using bond futures contracts to manage longer term exposures
- Defining the hedge ratio
- Problems with bond futures contracts based on government securities
- Swaps as interest rate exposure tools
Using Non-Linear Interest Rate Derivatives
- Interest rate options
- Caps, floors, and collars
- Structured products incorporating embedded interest rate options
- Participating caps and corridors
- Barrier caps
- Using captions and swaptions
- Comparison of risk management techniques
DAY 3: MANAGING CURRENCY RISKS
Using Vanilla Instruments
- Types of exposure
- Defining hedging objectives and measuring hedge efficiency
- Managing exposures with linear instruments
- FX forwards and FX swaps
- Using currency swaps
- Managing exposures with options
- Basic option hedges
- Selling options in a hedging programme
- Packaged solutions
- Collars, range-forwards, cylinders, corridors
- Participating forwards and ratio forwards
- Break-forwards, FOX’s, forward reversing optionsPassive management
Using Exotic Option in FX Risk Management
- Average rate options
- Barrier options
- Compound 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 Dec 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. The list of clients includes JP Morgan, Goldman Sachs, Deutsche Bank, Barclays Capital, Morgan Stanley and Merrill Lynch among others.
London - 3 Day Course
Contact us to find out future dates for this course.
Early Bird - £1895 (+VAT)
Regular Price: £2195 (+15% VAT = £2524.25)
Single Day - £850 (VAT)
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Dubai
Contact us to find out when is the next edition of this course.
Early Bird - £2195
Regular Price: £2395
Single Day: £850
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DISCOUNTS
- 2 people - 5% discount, 3 people - 10%. Delegates have to be from the same company and book at the same time.
- If you book for 2 courses at the same time you will receive 10% of the value of the cheaper course. This discount cannot be combined with an early bird offer.
IN-HOUSE TRAINING
If you have a team of 4 or more this course can be customised and organised in-house at your convenience in any of your offices worldwide. Contact one of our advisors to find out more.
Call us now on +44 (0) 207 193 5035
or send an e-mail to: enquiry@eurekafinancial.com
