Advanced Market Risk Workshop

ANALYSIS FOR STRATEGIC APPLICATION: Market Risk Track

Excel Focused Technical Skill Development

2 DAY WORKSHOP
(Workshop is not being offered at this time)

Qualifies for CPD and 14 CPE Credits

INTRODUCTION

The purpose of this workshop is to analyze how market risk can be reduced, controlled, and measured in financial institutions. This intensive and highly interactive course includes the latest practical and theoretical developments in market risk analysis and management and offers practical case studies, group activities, and interactive Excel exercises to reinforce both the various concepts and the relationship among these concepts.We strongly encourage delegates to ask questions to maximize benefit and, as such, times may vary during the day from the printed schedule. There will be adequate time allocated for refreshment breaks, lunch and for delegates to network and discuss the issues being addressed.

Who should attend?

This intensive and interactive training course is designed for intermediate to advanced level practitioners, with some knowledge of financial instruments and risk management. As its primary objective, the course aims to analyze risks of market-traded financial instruments, including features of each instrument, trading strategies, and risks.

What will you get out of this course?

• Learn to apply a structural and rigorous framework for market risk analysis for foreign exchange and interest rate instruments

• Implement various market risk management approaches used by different types of financial institutions, hedge funds, asset managers, and corporations

• Understand how financial engineering and risk management interact

• Understand how to incorporate interest rate and foreign exchange risk management tools in market risk Value-at-Risk calculations

• Practical demonstrations of the above will be provided throughout the workshop through interactive Excel spreadsheets that the delegates will be able to use after the course

COURSE OVERVIEW AND OUTLINE

For this intensive and highly interactive course, all delegates are strongly recommended to attend the workshop with a laptop computer loaded with Microsoft Excel.

The relationship between spot and forward/futures markets

• Determinants of foreign exchange rates

• The relationship between these markets – parity relationships

• The pricing information inferred from these markets

• INTERACTIVE GROUP SESSION: Forecasting future exchange rates

Trading strategies in foreign exchange markets using futures

• Speculation in foreign exchange futures – bilateral and spread transactions

• Hedging with foreign exchange futures – hedging transaction and translation exposure

• Calculating and managing risk positions for foreign exchange futures

• INTERACTIVE GROUP SESSION: Modeling foreign currency hedging transactions

• Valuing and using foreign exchange options

• Calculating and managing risk positions for foreign exchange options

• Valuing and using currency swaps

• Calculating and managing risk positions for foreign exchange swaps

• INTERACTIVE GROUP SESSION: Analyzing the costs and benefits of forward, futures, options, and swap based hedges for foreign currency exposure

Using yield curves to value fixed income securities

• Bond price sensitivities – duration and convexity

• Building different types of yield curves

• Yield curve shapes – valuing cash flows using yield curves

• INTERACTIVE GROUP SESSION: Analyzing the impact of yield curve shifts for an unhedged fixed income portfolio

Interest rate futures

• Forward rate agreements – pricing FRAs

• Interest rate futures – shorter and longer maturity interest rate futures

• Hedging with in interest rate futures – long and short hedges; cross hedges, strip and stack hedges

• Speculation in interest rate futures – spread transactions

• Changing the maturity of an investment – converting rate exposure from fixed to floating and from floating to fixed

• INTERACTIVE GROUP SESSION: Different approaches to hedge a fixed income portfolio

• INTERACTIVE GROUP SESSION: Analyzing the impact of yield curve shifts for a hedged fixed income portfolio

Sophisticated hedging strategies for interest rate exposure

• Hedging using T-bond futures and the cheapest-to-deliver bond

• Risk arbitrage with T-bond futures

• Calculating and managing risk positions for T-bond futures

• INTERACTIVE GROUP SESSION: Analyzing the costs and benefits of forward, futures, options, and swap based hedges for interest rate exposure

Interest rate swaps

• The plain vanilla swap – valuing and pricing interest rate swaps

• Duration of interest rate swaps

• Calculating and managing risk positions for interest rate swaps

• Financial engineering with interest rate swaps – swaptions, exotic swaps

• INTERACTIVE GROUP SESSION: Analyzing the costs and benefits of forward, futures, options, and swap based hedges for interest rate exposure in international transactions

Integrating foreign exchange and interest rate risk in VaR calculations

• Measuring the interest rate exposure

• Measuring the currency exposure

• Estimating VaR for the interest rate and currency exposure – separately and jointly

• INTERACTIVE GROUP SESSION: Estimating VaR and its components for interest rate and currency exposures