The Risk of
Derivative Products
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
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.
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)
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