From 25 Jun 2018 to 27 Jun 2018    Cyber and Information Security Management    in Kyiv / Ukraine

Capital Markets: The Mechanics of Derivatives

Objectives:

  1. Introduce the first generation of derivative instruments, their underlying, risk profile and payoffs.
  2. Learn about more sophisticated instruments used as of today and their exotic components.
  3. Highlight the pricing of financial instruments and understand their application through comparative analysis and practical cases.
  4. Illustrate relevant markets, organisation and major players.
  5. Master the knowledge of derivatives by assessing
    1. their specific risk profile, like asymmetric, leveraged and feasibility to tailor made risk/return patterns and
    2. those highly efficient, liquid, flexible and cost effective tools,which make them highly suitable for use in the Modern Portfolio Management context as well as on a stand-alone basis.
  6. Contrast the Chinese derivative markets with other major financial places and highlight the differences of traded derivative instruments

 

Target Group:

Private bankers, central bank employees, asset managers, risk managers, traders, and people who want to get better insight into the derivative products and their modern use and application.

Location & Duration

HoT-ATTF partner countries: 4-5 days (depending if sequential translation or not)

Detailed programme Explode

Day 1

I – MARKETS

  • Money markets & Capital markets
  • Exchange and OTC
  • Speculation, hedging & arbitrage
  • Arbitrage game
  • Market actors, participants and roles
  • Products : balance and off-balance sheet
  • Organization : front, middle and back-office
  • Systems : information and pricers

II – NOTIONS OF DERIVATIVES

  • Definition and purpose
  • Notion of underlying / Types of underlyings
  • Value and maturity dates
  • Sensitivity and delta hedging
  • Risks

III – FORWARDS

  • Definition
  • Mechanics
  • Types of forwards
  • Delivery and offsetting
  • FX Forwards
  • Non deliverable forwards
  • Purpose and limits of forwards
  • Hedging corporate risks
  • Practical Exercise : covering a multinational firm’s FX risks

Day 2

IV – FUTURES

  • Definition
  • Exchanges
  • Types of future contracts
    • Storable products
    • Non storable products
    • Financial instruments and indexes
  • Organization and operation
    • Trading place
    • The futures contract
    • Operators and participants
    • The transaction system
  • Game : flashing futures
  • Price building
  • Using futures

 

V – SWAPS

  • Definition and characteristics
  • Standardization
  • Off-balance sheet instrument
  • Using swaps
  • FX swaps

DAY 3 – 4

V – SWAPS (continued)

  • Interest rate swaps (IRS)
    • The IRS contract
    • Cash flow frequency
    • Conventions
    • The reference index
    • Yield curves
    • Cash flow details
    • Pricing
    • Practical exercise : designing a swaps pricer
    • Basis swaps
    • CMS
    • CIRS
    • Quanto swap
    • Forward swap
  • Other types of swaps
  • Contracts and confirmations
  • Risks

 

VI – INTRODUCTION TO PORTFOLIO HEDGING WITH DERIVATIVES

  • Bonds basics
  • Interest rate hedging
    • Bond futures
    • Duration hedging
  • Foreign exchange risk hedging
    • Fixed income cash flows and NAV hedging
    • Target Hedge ratio
    • Choosing the hedging products
    • Securities trades hedging, rebalancing and rollovers

 

DAY 4

VII – OPTIONS

  • Definition
  • Types of options
  • Underlying assets
  • Characteristics
    • European and American options
    • Call and put
    • Strike
    • Maturity
    • Volatility
    • Intrinsic and time value
  • Pricing
  • Hedging with options

 

WRAPUP, SURPRISE GAME AND Q&A

 

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