CPEs: 9
Instructor: Gary van Vuuren Phd
Level: Intermediate
Tuition: £0.00
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NEW Derivatives Risk Management under COVID RTR013

Location: UK EMEA APAC Time Zones

First Date: Jun 13 - 15 2022

Duration: 3 days/3 hours per day

Programme Director: Dr Gary van Vuuren

All Dates & Locations
Venue Details

Experience the highly-interactive expert-led social learning through Virtual Classroom via Zoom by Training. 

All our 2022 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.

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.



This 3-day virtual training 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.

This course has been designed specifically for risk management staff who are likely to be engaged in assignments requiring knowledge with derivative instruments.

Who Should Attend

Delegates will benefit from relevant departments which may include but are not limited to:

• Risk management
• Regulation
• 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


• ISDA master agreement
• Relationship to credit risk
• ISDA definitions
• ISDA agreement structure
• Outline ISDA agreement
• Force majeur
• Netting


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

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.)


NEW Derivatives Risk Management under COVID

Course Fee

Course Fee (per person):
GBP £0.00 (+ UK VAT when applicable)

Number of delegates:

Data Privacy & Update of Contact Details Risk Reward Limited is fully compliant with the Data Protection Act. The information you provide will be safeguarded by Risk Reward Ltd. We do not rent, sell or exchange your details to anyone without your consent. Your details are never given to third parties. If you wish to update your details, please email: with your OLD and NEW details. Please allow 10 days to see the changes take effect. Thank you.

Terms and Conditions: You can cancel at any time. Due to the on-going COVID 19 environment cancellations may be made at any time for either a full refund or a credit towards another event occurring within the following 6 month period. Simply email or telephone the London Client Services team at to advise your preference and we will do our best to accommodate your circumstances. Risk Reward Ltd receives the right to a final decision in the event of a dispute.

All Risk Reward public courses are guaranteed to run although those offered by affiliates are subject to demand
SKU: TR013 Category:

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