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Risk Management
Total risk management is the combination of all the elements of risk management into a consistent strategy...
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Training - Financial Enginering
Introduction to Financial Engineering:
5 days
Day One
Introduction And Setting The Scene
Concept of financial engineering
Concept of structured notes
Rationale for structured notes
- Regulatory arbitrage
- Customisation
- Credit enhancement
- Retail denomination
Corporate Objectives And Swaps Structuring
Corporate uses and applications
- Lowering financing costs
- Hedging price risks
- Exploiting economies of scale
- Gaining access to new markets
- Mergers and acquisitions
Uses of swaps in the Middle East markets
Architecture And Creation Of Structured Notes
Structured notes through repackaging vehicles
Repackaging vehicles
- Overview
- Securitised asset swaps
- Structured note repackaging vehicles
- Primary market repackaging vehicles
Day Two
Raising Finance And Financial Engineering Principles
The use of structured finance for obtaining sub-LIBOR
funding
The act of arbitraging and its importance in structuring
notes
Creating financial investments to match investors
requirements
The attraction of structured notes, bonds and deposits for
investors
Case Studies
Technicalities For Structured Notes
Analysis of risk factors
Credit assessment and experience
The credit risk yield premium - observation and calculation
Determining expected vs. unexpected losses
Bootstrapping - the construction of the zero-coupon yield
curve
The construction of the forward yield curve
Determining hedge ratios
Case Studies
Options Technicalities
Constructing a delta hedge
Hedging via options
Options Greeks and their implications
- Delta
- Gamma
- Theta
- Vega
- Rho
The carry trade and how it works
Dynamic hedging - concept and applications
Options pricing
- Black Scholes model
- Binomial model
- Ho and Lee model
- Cox Ross Rubinstein model
Day Three
Interest Rate Linked Notes
Concept
Characteristics and price behavior
Pricing and valuation
Coupon enhancement techniques
Applications
Callable bonds
Inverse floating-rate notes
Capped and collared FRNs
CMT notes
Index amortising notes
Swaptions
Case Studies
Complex Interest Rate Swap Structures
CMT swaps - constant maturity treasury
Callable and putable swaps
Circus swaps
Diff swaps
Leveraged swaps
Reversal swaps
Roller-coaster swaps
Rate-capped swaps
Index amortising swaps
Day Four
Equity-Linked Notes
Issue structures
Implications for issuers and investors
Pricing approaches
Primes and scores
Liquid Yield Option Notes (LYONS)
Long Term Equity Anticipation Securities (LEAPS)
Flex options
Convertible and exchangeable bonds
Convertible bonds
Equity-linked deposits
Case Studies
Currency-Linked Structured Notes
Overview
Dual-currency notes
Bull bear structures
Range accruals
Applications
Risk Management Of Structured Products And Derivatives
Anatomy of derivatives risks
Quantification of market and credit risk exposures of
derivatives
Value-at-Risk (VaR)
Monte Carlo simulation
Parametric VaR
Day Five
Credit Derivative Structures
Total return swaps
Default swaps and options
Credit spread options
Put credit spreads on asset swaps
Basket credit linked notes
Forward spread note
Binary credit linked note
Pricing Credit Derivatives
Merton model
KMV model
Duffie Singleton model
Das Tufano model
Modeling credit risk
Course Fees
VAT to be included at the local rate, if applicable. Costs
shown are per delegate inclusive of refreshments, lunches and
seminar materials. Cost of accommodation is not included.
GBP 4500
Certificates of Participation
Certificates of participation are remitted to course
participants upon request. |
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