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Variance swaps and volatility index contracts (VIX, VDAX, VSTOXX)
Practical Workshop
Valuation of various derivatives
Hybrid Instruments
Convertible bonds
Mandatory convertibles
Warrants
ETF, index analysis
Management Strategies & Overlay
Cash equitisation and hedging
Controlling sector allocation and management style
Portfolio insurance
FX risk hedging
Covered calls, covered puts
Practical Workshop
Analyse opportunities for implementing various strategies
Value-at-Risk (VaR) Approaches
Historical VaR
Parametric VaR
Monte Carlo VaR
Limitations and alternatives
Back-testing and stress tests
VaR (relative and absolute) and commitment ratios
Practical Workshop
VaR calculations
Best Execution
Trade engineering: choosing an instrument
Stacks and strips: choosing a maturity
Volatility smile: choosing a strike price
Practical Workshop
Strategies for particular investment policies and perform cost-benefit analyses
Risk Control and Management Reports
Reporting and regulatory ratios
Total exposure to market risk (cash + synthetic)
Exposure to currency risk
Exposure to volatility
Performance attribution
Pockets and virtual cash allocation
Processing options
Practical Workshop
Analyse a portfolio including different derivatives and develop a risk and performance report
Calculate the theoretical price of derivatives and compare their values
Develop management strategies for the scenarios and constraints at hand
Optimise execution
Figure synthetic exposures and cash exposures into a report
Bird's eye view of the chain of operations involved in a derivatives transaction
Analysis and evaluation of derivative-based investment strategies
Delivered by specialists who combine theoretical instruction and professional experience in order to reveal the cost-benefit relation behind each decision
