Equity Derivatives, FX, Credit and XVA

3 days 6-8 Nov 2018, Dubai UAE £3,395.00 Download brochure Add to basket

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Overview

This course represents Module 2 of  Advanced Derivatives

Module 2 – Equities, FX, Credit and XVA
Day 3 Equity and FX options, exotics, structured products and trading the volatility surface
Day 4  Credit derivatives, CDOs and structured credit
Day 5 Funding, XVA, and the new regulatory world

The emphasis is on a healthy mix of theory and client applications, and is illustrated throughout with real-life examples and case-studies.

Instructors

We work with a series of expert instructors, please select the course location of interest to review the credentials of who will be delivering the programme.

Dubai
Richard Fedrick

Richard started his career in 1988 in the Derivatives Product Group at Morgan Stanley, which he joined after three years of post-grad research in Theoretical Physics. He spent three years as a rates and FX structurer at Morgan Stanley before moving to a similar role at Deutsche Bank in London. In 1993 Richard joined General Re Financial Products, a newly-formed AAA boutique that soon became established as one of the world’s leading derivatives trading operations. At GRFP Richard initially ran the structuring desk, before moving into trading (rates and FX exotics), and finished as a Managing Director and global co-head of structuring and sales.

In 2004, Richard decided to move into the world of consulting and expert training. He trains around the world on all areas of finance with a particular emphasis on capital markets, derivatives and risk-management.

Richard has a 1ST Class Degree in Physics from Oxford University.

Venue

Dubai

Dubai Hotel

This programme takes place on a non-residential basis at a central Dubai hotel. Non-residential course fees include training facilities, documentation, lunches and refreshments for the duration of the programme. Delegates are responsible for arranging their own accommodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.

Dubai has an incredible number of hotels. Courses held here are mainly held at the:

Nassima Royal Hotel
Plot 49 Sheikh Zayed Road, Trade Centre District Dubai, United Arab Emirates
http://nassimaroyalhotel.com

Nassima Royal Hotel is a modern, stylish, luxury hotel on Sheikh Zayed Road. Towering at 51 stories, the hotel offers stunning views over Dubai and its iconic landmarks.

The hotel offers a number of restaurants serving a variety of world cuisines alongside its bars and nightclub. If you are looking for more relaxing ways to unwind, the hotels expansive outdoor pool area offers a view out to Jumeirah beach, and entertainment for the smaller members of the family can be found at the kids club.

Alongside the beautifully appointed rooms and suites, Nassima Royal Hotel also offers extensive meeting facilities.

With our central location in downtown Dubai, and close proximity to the Dubai International Convention and Exhibition Centre, you couldn’t ask for more from a luxury hotel on Sheikh Zayed Road.
 

Related Courses

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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:





Our Tailored Learning Offering

If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

We produce learning solutions that are completely unique to your business. We'll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.

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We can offer any of our public courses delivered at your office or we can devise completely tailored solutions:


Read more about our offering or complete a call back request to speak to a learning specialist.

 

Agenda

Day 3 

Options, Exotics and Structured Products

Option fundamentals

  • The basic payoff diagrams
  • Cash versus physical settlement
  • Popular option combinations and strategies
  • Volatility - what it is and why it matters

Option pricing

  • Intuitive drivers of the premium
  • Binomial trees
  • Monte Carlo
  • Black-Scholes

Option risk-management

  • The delta hedge
  • The fundamental role of gamma
  • Gamma versus theta

Understanding and trading volatility

  • Defining implied volatility
  • Defining the vol surface, smile and skews
  • Hedging smile and skew risk, risk-reversals and butterflies
  • The role of stochastic vol in understanding smile and skew
  • Quantifying the risk - vanna and volgamma
  • Introduction to local and stochastic vol models

Exotics and structured products

  • Digitals and range-accruals
  • Barrier options and client applications
  • Static hedging of barrier options
  • Autocallables and accumulators
  • Cliquets and the problem of forward vol

 

Day 4 

 

Credit Derivatives


Mechanics of a CDS contract

  • Defining a credit event
  • CDS setttlement

Pricing and risk

  • The credit triangle – relating credit spreads to default probability (PD), exposure (EAD) and expected recovery (LGD)
  • Risky discounting
  • Standard contracts, fixed spreads, computing the upfront
  • CS01 and convexity

Hedging bond positions

  • Constructing the hedge – default risk or spread risk?
  • Trading the cash-CDS basis
  • Drivers of the basis

CDS indices (iTRAXX and CDX)

  • Mechanics and settlement
  • Intrinsic spread and skew
  • Sub-indices

Tranching and correlation

  • Synthetic single-tranche CDOs
  • Credit correlation and why it matters
  • Understanding the tranche delta

Structured credit trading

  • Tranche trading and convexity
  • Nth-to-default baskets

Day 5 

Counterparty Risk, Funding and XVAs


Key concepts and metrics of counterparty exposure

  • When exposure is non-static – why derivative are tricky
  • Key metrics of exposure for derivatives: EL, EE, EPE, PFE

From exposure to Expected Loss

  • Monte carlo simulation and semi-analytical methods
  • Computing EL for some simple positions: IRS, forward FX

Pricing for default risk

  • The traditional approach versus the CVA approach

Computing the CVA charge for the most common positions

  • Shortcut calculational tricks
  • Mitigating the exposure on cross-currency swaps

Wrong-way risk

  • Examples of wrong-way (and right-way) risk
  • Computing the CVA charge with wrong-way risk

The new CVA capital charge in Basel III

DVA – adjusting for your own risk

  • DVA for some common positions
  • Is DVA real? Why it remains controversial

CSAs and collateral

  • The importance of netting
  • CSA key terms
  • The dual role of the CSA – collateral as funding

Building a funding curve

  • The choice of OIS as a core discount curve
  • What is meant by ‘CSA discounting’
  • The ‘cheapest-to-deliver’ option in collateral posting

Understanding the Funding Valuation Adjustment (FVA)

  • Adjustment for asymmetric collateral terms
  • Avoiding the trap of double-counting FVA and DVA

Other XVA adjustments

The new regulatory world

  • Central clearing
  • Regulatory legislation: Dodd-Frank, EMIR, MiFiD and the rest
  • What can we expect from Basel IV?

 

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.

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  • 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.
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