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Overview

Table of Contents

Extra

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The Risk of Derivative Products

Overview

Objective: 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: 

·        product types from differing asset classes such as equity, commodity, interest rates and FX 

·        Comparison of valuation of both "what the books say" and "what actually happens", including some complex/exotic structures 

·        wide ranging techniques from stress test and VaR to scenario analysis and point Greeks 

·        what the difficulties are including VAR validity/verification, how one structure can have an almost identical risk to another structure 

Audience: market professionals with a minimum of one year’s experience  

·        Management, treasurers 

·        Risk Management

Table of Contents

1)    Overview: big picture introduction to the concepts of risk and derivative products.

2)    Forward contracts: basics building block of derivative products – examines pricing, hedging and documentation issues.

3)    Swaps contracts: structure and pricing of swaps contracts including yield curve building and discounted cash flows. Extension of concepts into commodity swaps.

4)    Futures contracts: extension of the forward contract into on exchange and off exchange (OTC) forwards with daily margining

5)    Options: valuation 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.

6)    Exotic options: examination of more complex option types including barriers and ranges, which have their own unique risk profiles.

7)    Portfolio 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.

8)    Credit Risk: looks at the techniques of measuring credit risk within portfolios of derivative products.

9)    Underlying asset specific issues: factors specific to market such as equity and commodity, which lead to particular risk management problems.

10) Regulatory aspects: derivative product risk from the viewpoint of market regulators such as the FSA, SEC and FED.

Extras

520 Pages of comprehensive and extensively illustrated Handout Notes (see samples here)

Plus copies of relevant TG2 Books/e-Books

Note: 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" list HERE)

    Get a Syllabus in more detail

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Last modified: July 25, 2011