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| Advanced
Risk Management | View All In-house Training Agendas |
| Pre-Course
Online Study |
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Market Risk 1 |
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Market Risk 2 |
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Credit Risk 1 |
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Credit Risk 2 |
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Operational Risk |
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| Post-Course
Online Study |
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Understanding
and Managing Swap Risk |
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Option Volatility,
Pricing and Risk Management |
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Risk Management,
the Price Sensitivity of Options & the
Greeks |
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| This course will provide an overview of some key areas
in financial risk management techniques and strategies.
Delegates will gain an insight into some of the most important
new topics in risk management and how to apply some of
the latest modelling and simulation techniques in market,
credit and operational risk management. The course will
cover topics including advanced equity derivatives, capital
structure arbitrage, portfolio credit risk models, and
operational risk, including some of the latest Basel II
developments. |
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- Overview
- Outline of course contents and methods
- Taxonomy of risks
Group discussion: Russian bankruptcy
- Introduction to Equity Derivatives
- Recap on basic derivatives pricing theory
- Greek sensitivities
- Volatility smile and the term structure
of volatility
- Implications of the volatility smile for
hedging
- Microstructure of delivered volatility
- Advantages and disadvantages of vega hedging
and volatility limits
- Advanced Equity Derivative Pricing
- Volatility swaps
- Introduction to local volatility models
- Hedging in local vol models
Group discussion: Volatility models and
methods
- Hedge Simulation Models
- Importance of practical hedge simulation
- Demonstration of hedge simulation model
- Capital Structure Arbitrage
- Merton model of corporate structure
- Miller-Modigliani theorem
- Implementations of the Merton model
- Hedging equity with debt
Group discussion: Using capital structure
arbitrage
ideas
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- Introduction to Credit Portfolios
- Behaviour of portfolios of credit risk
- Tranching credit risk portfolios
- Models of credit risk: Actuarial approaches,
credit risk+ and KMV
- Risk premiums and risk neutrality
- Structuring Tranched Credit Products
- Waterfalls
- Credit enhancement via spread accounts
- Impact of default correlation on pricing
- Copula approaches
- Country Risk
- Different approaches to measuring and
managing country risk
Group discussion: Country risk
- Operational Risk and Contingent Capital
- Overview of operational risk
- Basel II operational risk proposals
- Contingent capital
- Risk-linked funding
- The treasurer’s toolkit
Group discussion: Practical operational
risk mitigation
- Questions and Answer Forum
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