Hands-on Risk Management on the Trading Floor

Main market risk indicators
  • Risk factors of cash and derivative products
  • Sensitivities
  • Definitions
  • Non-optional products
  • Options (Greeks)
  • Value-at-Risk (VaR)
  • Stress scenarios
Risk management of cash and derivative products
  • Spread risk, basis risk, by maturity, other aspects
  • Spreads and basis (swap / Govies, issuers, swap curve)
  • Granularity of maturities
  • Other aspects: liquidity, concentration, outstanding amounts, net and gross nominal amounts
  • Options: step 1.
  • Sensitivities of 1st and 2nd order (delta, gamma, vega, theta, rho)
  • Delta-neutral management, arbitraging theta vs. gamma
  • Management of convexity and dynamic hedging of Greeks
  • Interaction between the Greeks, crossed Greeks
  • Options: step 2.
  • Volga, vanna
  • Smile, skew
  • Complex parameters
Market risks limits
  • Who is involved
  • Regulatory aspects
  • Risk appetite
  • Controls

  • Extend your knowledge of risk management
  • Understand risk management issues in an operational environment
  • Master operational techniques to manage simple or complex transactions
  • Understand and identify the necessary environment for risk management
  • Exhaustive study of operational market risk management
  • Aligning academic knowledge and practical techniques
  • Approach to market risk management through solely quantitative techniques
  • Put yourself in the position of market risk manager via the use in-class of the trading simulation software FIRST TRADING ROOM®
  • Risk managers
  • Middle officers
  • Credit risk managers
  • Operational risk managers
  • Inspection / auditors / internal control
  • Compliance
  • IT
Close

Send a link to this seminar

You can recommend this seminar to your contact using this form. A link to this page will be included in your message.