Day 1
ORGANISATION AND ECONOMIC ROLE OF FINANCIAL MARKETS |
| ▪ | Main economic players on financial markets
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| ▪ | Monetary policy and role of central banks
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| ▪ | Organisation, operations and classification of capital markets
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| ▪ | Trading rooms and front office functions
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| ▪ | Dealing on financial markets
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| ▪ | Role of the back- and middle office
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| ▪ | Clearing and custody agents
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| ▪ | Fundamentals of pricing
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| ▪ | Distinction between cash and derivative products
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| ▪ | Distinction between non-conditional and conditional products
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| ▪ | Case study
. Reconstitute the various steps of a product transaction |
| CHARACTERISTICS OF CASH AND FUTURE EQUITY MARKETS |
| ▪ | Organisation and key players of equity markets
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| ▪ | Equity markets: cash equity products
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| ▪ | Market orders and clearing
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| ▪ | Equity futures and indices
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| ▪ | Basics of fundamental analysis
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| ▪ | Charts and technical analysis
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| ▪ | Case study
. Analyse the needs of an equity manager and offer risk management solutions |
| CHARACTERISTICS OF COMMODITY MARKETS |
| ▪ | Agricultural commodities (cotton, cereals, mets...)
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| ▪ | Tropical commodities (coffee, caoutchouc, fibers...)
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| ▪ | Iron, steel...
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| ▪ | Bullion markets (gold, silver), precious stones (diamonds)
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| ▪ | Energy (oil, gas, CO²...)
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| ▪ | |
Day 2
CAPITAL MARKET MATHEMATICS |
| Interest Rate basis conventions |
| ▪ | Money Market, Exact/Exact, Bond Basis
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| ▪ | How to shift from one basis to another
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| ▪ | Basis application
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| ▪ | Calendar conventions
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| ▪ | Calculation periods
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| ▪ | Practical workshop
. Convert a money market rate into a bond basis rate
. Build the fixing and payment dates schedule of a Libor leg |
| Compounded interests |
| ▪ | Comparing quarterly, semi-annual and annual interet rates (actuarial approach)
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| ▪ | Capitalising interests (actuarial approach)
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| ▪ | |
| MONEY MARKETS |
| Short-term interest rate references |
| ▪ | Eonia, Sonia
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| ▪ | Euribor and Libor
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| ▪ | |
| Dynamics of short term rate |
| ▪ | Monetary policies
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| ▪ | Yield curve and market anticipations |
| Monetary products |
| ▪ | Deposit
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| ▪ | Commercial paper: Treasury-bills, CD
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| ▪ | The Repo market
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| ▪ | Practical workshop
. Compare various short-term funding strategies |
| FX MARKETS |
| ▪ | Spot FX
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| ▪ | Conventions on FX markets
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| ▪ | Calculation of forward FX rate (at a premium/at a discount)
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| ▪ | Hedging an export/import position
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| ▪ | Market of FX swaps
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| ▪ | Uses of FX swaps:
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| . | Management of multi-currency cash positions
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| ▪ | Practical workshop
. Calculate a cross FX rate
. Calculate a forward FX rate
. Hedge a forward FX transaction with FX swaps |
Day 3
BOND MARKETS |
| ▪ | Bond yields, references
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| ▪ | Bond Characteristics
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| ▪ | Characteristics and use of the main bonds
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| . | Fixed rate Bonds, Floating Rate Notes
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| . | Index-linked, inflation bonds
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| ▪ | Market conventions
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| ▪ | Pricing fundamentals
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| ▪ | Calculating duration and sensitivity (modified duration)
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| ▪ | Practical workshop
. Calculate the yield to maturity of a specific bond |
| CREDIT DERIVATIVES |
| ▪ | Organisation and key players of credit derivative markets
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| ▪ | Mechanics and main uses of credit derivatives
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| . | Credit default swaps (CDS)
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| . | Credit linked notes (CLN)
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| ▪ | Regulatory framework
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| ▪ | Practical workshop
. Hedge a counterparty risk with a CDS |
Day 4
NON-CONDITIONAL INTEREST RATE DERIVATIVES |
| Short term derivatives |
| ▪ | Forward rates
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| ▪ | FRA: mechanics and cash settlement calculation
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| ▪ | STIR futures
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| ▪ | Comparison between FRAs and futures: convexity bias
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| ▪ | Overnight Index Swaps: mechanics and uses
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| ▪ | Practical workshop
. Calculate a forward rate
. Calculate the cash settlement of a FRA |
| Long term derivatives |
| ▪ | Interest Rate Swaps (IRS)
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| ▪ | Non-vanilla swaps: Quanto swaps, CMS
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| ▪ | Currency and Interest Rate Swaps (CIRS)
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| ▪ | Asset swaps
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| ▪ | Long-term futures
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| ▪ | Practical workshop
. Study the main hedging strategies for a floating debt
. Structure an asset swap |
| OPTIONS |
| Definition, Mechanics and Use of options |
| ▪ | Characteristics and mechanics of options
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| ▪ | Using options to hedge or speculate
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| ▪ | Principles of pricing and risk management of options
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| ▪ | Sensitivities (Greeks)
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Day 5
OPTIONS |
| Option theory applied to interest rate and FX options |
| ▪ | Specific characteristics of IR and FX options
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| ▪ | Hedging IR risk via caps & floors
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| ▪ | Examples of structured IR products
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| ▪ | Practical workshop
. Plot the pay-off of various option strategies
. Compare various hedging strategies
. Evaluate the impact of market fluctuations on option positions |
| Warrants |
| ▪ | Main exotic options and structured products
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| ▪ | |
| RISK MANAGEMENT FUNDAMENTALS- BASEL II |
| Presentation of the 3 pillars |
| ▪ | Counterparty and credit risks
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| ▪ | Standard and IRB methods (internal rating)
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| ▪ | Market risks
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| ▪ | Overview of VaR techniques
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| ▪ | Operational risks
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| ▪ | Prudential policies and communication
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| ▪ | Challenges and impacts of regulatory reforms on the financial industry |
| Documentation |
| ▪ | Netting
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| ▪ | Collateralisation
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| ▪ | Master agreements |
| Trading Simulation |
| ▪ | Trade STIR futures vs the computer and other participants in hectic market conditions.
Maximise your profits while maintaining sound risk management. |
