A Trader’s Guide to Interest
Rate Markets
Objectives: 3-day course provides a good
"conceptual" understanding of the products, tools, and methods
required for Front Office IR instrument and derivatives operations.
Additionally, the course will consolidate existing knowledge and provide a
"level playing" field of knowledge within the various groups. The
course has been design to permit future courses to bring the participants up to
a strong "working" knowledge.
Audience:
market professionals just starting in IR products (past market experience
useful)
·
Traders, sales, support,
· Management, treasurers,
·
Risk Management
1) Introduction to
IR markets: provides the foundation for IR products in terms of
supply/demand and uses and the economic need for securities and derivatives
(loans, hedging, market making, risk taking), as well as examination of
arbitrage valuation concepts.
2) Basic IR and
Present Value Theory: thorough examination of PV concepts and tools
providing all of the essential machinery for valuation.
3) IR Securities
and (non-contingent) Derivatives: extensive treatment of the terminology,
valuation and pricing methods of IR securities and non-contingent derivatives
with a large number of worked examples including Deposits, FRAs, Futures, Bonds
and Bond Futures, vanilla and near-vanilla Swaps using both traditional IRR
method as well as the zero-coupon method. Additionally included
qualitative treatment of complex derivatives such as diff-swaps, and discussions
on the merits and uses/abuses of such products.
3) IR Curves: complete top-to-bottom treatment of market convention method for
producing zero-coupon curves, with detailed step calculations, discussions of
shortcomings, and qualitative treatment of advanced concepts.
4) Hedging
and Position Risk: Risk Assessment and Control with consideration beginning
with Types of Risk (focusing on Market risk) using Sensitivities and Sensitivity matching
for Position Risk with both Traditional (Duration, Convexity, etc) as well as
empirical ("bucket" methods for additional assessment of rotations and
so forth). Additionally considering Market Risk and Homogeneity Covariance and Liquidity
and using Sample “Bucket reports”.
5) IR
Optionsdown to earth presentation on the concepts
and methods for pricing IR products/options starting with an analyses of
uncertain market process and by way of "dissection" creating an
options model that everyone can understand. An analyses of the "risk
neutral" (Black-Scholes) approach and its limitations is also
provided. Explanation of volatility concepts and term-structure dynamics
is given in an intuitive fashion. The section concludes with analyses of
option's position risk.
7) Portfolio
Simulation and Trading Efficiency: an introduction to the methods required
for real world hedging and portfolio risk management by constructing
strategy simulations of directional, structured, and hedged exotic options
portfolios, as well as techniques for choosing "optimal"
strategies.
855
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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