Advanced Swaps

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FTS Eligible - Financial Training Scheme for Singaporean citizens and PRs only (more information)

Course overview

By the middle of 2011, the size of the global swap market was in excess of US$600 trillion (in terms of notional principal), made up predominantly of interest rate swaps. Despite the recent banking crisis, with the exception of credit default swaps, the market had grown by nearly 20% in the last six months. Why? Because organisations continue to use it to manage their exposures to the financial markets, such as interest and FX rates, equity and commodity, inflation, volatility, credit, etc. During this time, the swap market has evolved to provide a wide range of innovative structures designed to meet the precise requirements of end-users.

The Course Director has offered this advanced swaps course for market participants for over ten years. It has been continually updated to include the latest practical and theoretical developments in the structuring, pricing and hedging of swaps and related transactions.

Summary of course content:

  • Construct and price off a futures strip, including the convexity effect
  • Blend information from different markets together efficiently
  • Price collateralised swaps off an OIS curve
  • Price and hedge a wide range of non-generic swap structures
  • Adjust for the convexity of a swap
  • Transfer credit risk through the CDS market
  • Value foreign assets correctly
  • Decompose structures with embedded options into their basic components
  • Understand how to swap complex structured products using numerical models and Monte-Carlo simulations
  • Apply modern risk management to swap portfolios
  • Estimate default and migration counterparty credit risk
  • Measure expected shortfall using extreme value theory - NEW


There are a wide range of computer-based exercises, which may be taken away after the course, to reinforce the learning and to ensure that delegates are ready to apply the course as soon as they return to their institutions.

Computer-based exercises

Delegates should bring a laptop installed with Microsoft Excel® 2010 in a Windows environment, not a Mac lookalike, (full version loaded with Analysis Toolpak and Solver add-ins) for the exercises and case studies.


Computer-based exercises to reinforce learning results.


Delegates should be familiar with basic concepts such as:

  • Operations of the cash, FRA, futures and swap markets
  • Use of discount factors to fair price swaps
  • Basic option pricing
  • General interest rate risk management

FTS Eligible

This programme is approved for listing on the Financial Training Scheme (FTS) Programme Directory and is eligible for FTS claims subject to all eligibility criteria being met.

Please note that in no way does this represent an endorsement of the quality of the training provider and programme. Participants are advised to assess the suitability of the programme and its relevance to participants’ business activities or job roles.

The FTS is available to eligible entities, at a 50% funding level of programme fees subject to all eligibility criteria being met and to a cap of S$2,000/participant/programme. Please contact us or visit for more information.

Who should attend

  • Experienced members of swap desks and other structuring teams
  • Senior risk managers
  • Experienced marketers, responsible for providing risk management, financial structuring, and treasury services to end-users
  • End-users themselves, to understand how banks are pricing and hedging swap structures
  • Related Courses



    Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company's exact requirements? If you'd like to do either of these, we can bring this course to your company's office. You could even save up to 50% on the cost of sending delegates to a public course.

    To find out more about running this course in-house:

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    Why us

    We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

    We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

    • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
    • Track record – we have delivered training solutions for 95% of worlds’ top 100 banks and have trained over 250,000 professionals.
    • Knowledge – our 150 strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
    • Reliability – if we promise it, we deliver it. We have delivered over 20,000 events both in person and online, using simultaneous translation to delegates from over 180 countries.
    • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 96% on service and 95% on product