Fundamentals of Market Risk Analysis
2 DAY TRAINING WORKSHOP
Qualifies for continuing education credits:
INTRODUCTION
This intensive and interactive training workshop is designed for entry and intermediate level practitioners with a basic understanding of financial instruments. The program covers the pricing, trading, and risk management of foreign exchange and fixed income instruments, as well as up-to-the-minute case studies and explanations.
What will you get out of this workshop?
Calculate market prices.
Understand the trading strategies available for each instrument.
Calculate and manage risk positions for each instrument.
Create and interpret yield curves.
Model positions in a multi-asset portfolio using VaR.
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.
DAY ONE
Session 1: Principles of Market Risk
• Understanding the major sources of market risk
• Assessing techniques of measuring market risk
Session 2: 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: Forecasting future exchange rates
Session 3: 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
Session 4: Foreign exchange options
• Valuing and using foreign exchange options
• Calculating and managing risk positions for foreign exchange options
Session 5: Foreign exchange swaps
• Currency swaps
• Valuing currency swaps
• Calculating and managing risk positions for foreign exchange swaps
Session 6: The relationship between bond prices and interest rates
• Pricing bonds
• Bond price sensitivities
• Duration
• Convexity
Session 7: Using yield curves to value fixed income securities
• Types of yield curves
• Building yield curves
• Valuing cash flows using yield curves
• Yield curve shapes
DAY TWO
Session 8: Interest rate derivatives
• Forward rate agreements: Pricing FRAs
• Interest rate futures: Pricing FRAs, Shorter and longer maturity interest rate futures
• Interest rate options
• Swaps: FRAs, futures, and swaps
Session 9: Trading strategies using interest rate futures
• Speculation in interest rate futures: Spread transactions
• Hedging with in interest rate futures, Long-hedge, Cross-hedge
• Calculating and managing risk positions for interest rate futures
Session 10: Financial engineering with interest rate futures
• Changing the maturity of an investment
• Converting rate exposure: Fixed to floating, Floating to fixed
• Strip and stack hedges
• Calculating and managing risk positions for interest rate futures II
Session 11: T-bond futures and the Cheapest-to-Deliver
• Hedging using T-bond futures
• The Cheapest-to-deliver bond
• Risk arbitrage with T-bond futures
• Calculating and managing risk positions for T-bond futures
Session 12: Interest rate swaps
• The plain vanilla swap
• Valuing interest rate swaps
• Pricing interest rate swaps
• Calculating and managing risk positions for interest rate swaps
Session 13: Financial engineering with interest rate swaps
• Swaptions
• Duration of interest rate swaps
• Exotic swaps
• Calculating and managing risk positions for interest rate swaps II
Session 14: Measuring foreign exchange risk using VaR
Session 15: Measuring interest rate risk using VaR
By becoming a GARP member you become part of a global community of financial risk professionals. 
