Duration of Course: Five days Programme
This course outlines the use of complex hybrid products and illustrates how they
are structured, priced and managed. As this is a growing area, delegates will
see how the industry operates, how the products are constructed and risk
management issues. The course will include case studies where delegates are
encouraged to construct generic and non-generic swap contracts, price them and
understand the risk management implications.
Both foreign currency and interest rate products are included since it is vital for treasury managers not only to take exposures but to pinpoint that exposure to suit their unique requirements as well as manage the risk involved.. Products covered range from the straightforward vanilla structures to more complex rollercoaster, credit swaps, mismatch and average rate swaps. Other topics include Yield curve , Convexity swaps and Inflation swaps.
The use of complex derivative products can be quite dangerous if treasury traders are not fully aware of the substantial risk issues. In terms of risk management therefore, the course will compare traditional market risk management with VaR taking into account Gridpoint market rate risk as well as swap futures and theta risk. More modern risk management techniques such as spread VaR, equity VaR and stress testing is also covered. Various case studies will be used throughout the five day presentation
This practical hands-on course will allow delegates to understand market risk and to calculate Market Risk/Value at Risk for various complex products like FRA’s, Swaps Forward Currency Agreements and Options. The course will commence with an introduction to financial statistics including, standard deviation, volatility, the normal distribution curve and correlation.
We will then concentrate on introducing the concept of pricing VaR and how it can meet regulatory requirements as well as improving internal decision making. The pricing and identification of arbitrage in complex hybrid products will also be discussed. Delegates will also sell how matrices operate and will use spreadsheets to calculate VaR. Comparisons between the various VaR methods will also be covered. At the end of the course delegates will be able to understand:
Cormac Butler is currently an active equity and options trader and a former consultant with Lombard Risk Systems London and has also worked with Peat Marwick and Coopers & Lybrand. He has considerable international experience as a training consultant in Derivative Accounting, Corporate Finance and Derivative Mathematics, working with major banks including Salomon Brothers, Robert Fleming and Banque Paribas. He has recently conducted in-house courses for Salomons, Morgan Stanley Dean Whitter (London), PriceWaterhouseCoopers (Holland), Investec (South Africa) and ABB Switzerland. In addition, he has worked for IIR and Euromoney in Singapore, Hong Kong, Thailand, America and Saudi Arabia. Cormac graduated from the University of Limerick, Ireland with a degree in Finance He has recently published Mastering Value at Risk (Financial Times Pitman) which is currently on the best sellers list (for Risk Management books) with Amazon.com, Gloriamundi.org and Financial World Bookshop (London).
Yield Enhancement Products
Structured Notes in Asia
Credit Derivative Products
Foreign Currency Contracts
Interest Rate Contracts
Credit Risk
Risk Analysis for Treasury Products
Interest Rate Transactions and VaR implications
Pension Market Risk Management
Option Strategies and Measurement of Market Risk
Application of Black & Scholes Model to Risk and Valuation and Implications for VaR
Case Study- Measuring Portfolio Risk Using Spreadsheets
Credit Risk VaR
Interest Rate & Fixed Income VaR
Exotic Options
Modeling Credit Default Risk
Foreign Exchange Value at Risk
Application of Risk Management to Business Plans
RIsk Management VaR