The Risk of
a comprehensive 3-day programme to examine the risk of a large number of
derivative structures from a theoretical as well as real world perspective and a
full treatment of basics of risk measurement, including:
types from differing asset classes such as equity, commodity, interest rates and
of valuation of both "what the books say" and "what actually
happens", including some complex/exotic structures
ranging techniques from stress test and VaR to scenario analysis and point
the difficulties are including VAR validity/verification, how one structure can
have an almost identical risk to another structure
professionals with a minimum of one year’s experience
big picture introduction to the concepts of risk and derivative products.
building block of derivative products – examines pricing, hedging and
and pricing of swaps contracts including yield curve building and discounted
cash flows. Extension of concepts into commodity swaps.
extension of the forward contract into on exchange and off exchange (OTC)
forwards with daily margining
and risk of products with contingent or uncertain terminal values – looks at
payoffs of calls/puts and how the values are effected by market movements.
Introduction to the Greeks.
examination of more complex option types including barriers and ranges, which
have their own unique risk profiles.
risk management: examines
the problems of integrating and aggregating products into portfolios such that
net risks are managed and the portfolio benefits from risk diversification.
looks at the techniques of measuring credit risk within portfolios of derivative
asset specific issues:
factors specific to market such as equity and commodity, which lead to
particular risk management problems.
product risk from the viewpoint of market regulators such as the FSA, SEC and
comprehensive and extensively illustrated Handout Notes (see samples
Plus copies of relevant TG2 Books/e-Books
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"