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Global Markets and Time Zones
CPEs:
24
Instructor:
Dr Gary van Vuuren
Level:
Intermediate
Tuition:
£3,995.00
NEW Derivatives Risk Management post COVID 19 CP013
Location: Global Markets and Time Zones
First Date: Mar 15 - 17 2023
Duration: 3 days
Programme Director: Dr Gary van Vuuren
All Dates & Locations
Venue Details
Experience the highly-interactive expert-led social learning through Virtual Classroom by Risk Training Asia.
All our 2023 Live, onsite and Virtual Classroom events feature shared (or discrete) live chat between delegates and the expert, participate in topical surveys, polling questions, group exercises and case studies for a tried -and- true engaging and gratifying learning experience.
Need to bring this course in-house or face-to-face for any sized group or 1:1 tutorial? Simply contact us for significant cost savings and dates best suited to meet your professional development and business goals.
"'Very positive feedback from delegates for this event! Dr Gary was a big hit.'"Training Coordinator, Singapore Training Provider
Agenda Highlights
Gain new understanding of effective derivative risk management practices and best practice approaches
Enhance your knowledge of effective risk management and controls of derivative intsruments through this interactive 3-day learning event.
Participants, led by subject matter expert Dr Gary van Vuuren, will deep dive into the fundamentals of derivatives as well as explore best practices when hedging, pricing, and documenting these trades. Focusing on topics such as contracts and modelling, participants will understand how to appropriately identify the risks and challenges associated with and how the pandemic has impacted these practices.
Build on fundamental knowledge to understand the skills and techniques to be necessary for successful risk management skills of derivatives.
"All topics were covered well using good examples and I really appreciated the take-away excel templates the trainer provided. Very helpful."Risk manager, Brunei
Overview
This course is designed to provide delegates with the fundamental knowledge that they need to understand the risk management and control over derivative instruments and the related skills and techniques to be adopted, including derivatives controls and methodologies, forward transactions, documentation under ISDA requirements.
Topical areas and discussion as focused for risk management staff who are likely to be engaged in assignments requiring knowledge of derivative instruments.
Who Should Attend
Delegates will benefit from relevant departments which may include but are not limited to:
• Risk management
• Regulation
• ALM
• Liquidity
• Balance sheet management
• Interest rate risk
• Treasury
Additional Course Information
What Does It Cover?
Introduction to Derivatives
• Understanding what a derivative is
• Derivatives pre crisis and the post crisis market
• Types of instruments and key concepts
• Benefits and uses of derivatives
• The role of the central counterparty
• Exploring hedging and trading of derivatives
• Key risks arising, including:
Liquidity risk
Credit risk
Client concerns
Pricing concerns
Legal risk Margin and central counterparty
Risk management of derivatives
• The role of risk management and the ALCO
• Best practices for successful governance of derivatives
• Stress testing and scenario modelling
• What needs to be reported?
• How has risk management changed due to COVID?
• Understanding the yield curve and the impact of low interest rates
• The concerns over models and modelling approaches
Forward transactions
• Pricing a forward contract and the importance of Libor
• Documenting a forward contract
• Introduction to the ISDA
• Confirming and settling forward contacts
• Identify the risks of forward transactions
• Risk management and forward transactions
• Validation to future
Futures Contracts
• Introduction to futures contracts
• The role of the futures exchange, trading, and future contracts
• Pricing a futures contract
• Hedging with futures
• The importance of margin accounting
• Confirmation and settlement
• Risk management of futures
Derivative controls and methods
• Identifying and monitoring limits, thresholds, and reporting
• Exception based escalation
• Duration and convexity
• Variance and co-variance
• Correlation
• Simulation including Monte Carlo and the Greeks
• Distributions
• Standard deviation
• Model risk and Basel
o Backtesting and validation
o Effective risk management of models
Options contracts
• Introduction to options and terminology
• Traded vs. OTC
• Option premium
• Confirmation and settlement
• Volatility
• Pricing an option:
o Binomial model
o Black Scholes
o Other approaches
• The importance of the yield curve
• Risk management of options contracts
Exploring swaps contracts
• Introduction to swaps and swap definitions
• Quality spread differential
• Understanding swap types:
o Interest rate swaps
o Currency swaps
o Pricing interest rate swaps
• Swap valuations
• Model risk and the importance of pricing feeds
• Confirmation and settlement
• Counterparty credit risk, collateral, and collateral management
Documentation
• ISDA master agreement
• Relationship to credit risk
• ISDA definitions
• ISDA agreement structure
• Outline ISDA agreement
• Force majeur
• Netting
END
Learning Objectives
Upon completion of this course, you should be able to:
• Identify the key risks arising within derivatives use and how risk management has changed due to recent market volatility
• Recognise the challenges relating to models and modelling approaches of derivatives
• Show best practices for identifying and monitoring limits, thresholds, and reporting
• Demonstrate effective risk management appraoches for option contracts
• Distinguish the different swap types and methods
• Understand the ISDA master agreement and framework for documentation of swaps and derivatives
Discussion, Q&A and Summary Exercises
END
Social Learning & Methods
Highly interactive expert-led intensive presentation, Q&A, group real-time in-depth case studies, regulation and discussion supported by key principles and theory. The virtual learning platform uses safe, industry preferred ZOOM to optimize live face-to-face visual interaction, discrete chat, for polling and quizzes. (An invitation via email with access link is included for all participants.)
Registration
NEW Derivatives Risk Management post COVID 19
Course Fee
Apply discount voucher code RISK10 at check out before Feb 15 2023
Course Fee (per person):
GBP £3,995.00 (+ UK VAT when applicable)
Get in touch and see how Risk Reward can help you
Our London and Miami teams are ready to listen carefully to your needs, take the brief, explore options, offer suggestions and help you in a professional and friendly manner.