This course is designed to provide an introduction to the mechanics of financial trading – the reasons why people trade, the techniques they use and the associated risks. The course will highlight the inter-relationships between the various markets and products and will give participants a practical understanding of how their risks can be managed. It will cover the main FX, Fixed Income and Derivative Markets. The RiskManager Trading Simulation is the product of more than 15 years continuous research and development. It has been designed with the active support of traders from major financial sector organisations around the world.
The result is a powerful real-time computer simulation which captures the essence of today’s complex and dynamic financial markets. The simulation re-creates the realism of the markets due to its advanced features. It provides for real time trading in a fast-moving environment. It contains an internal on-line position keeper so that all positions are carried forward to a balance sheet. The simulation covers treasury, capital markets and derivatives. It supports full arbitrage across markets and between instruments allowing for the construction of positions straddling product areas whilst calculating net exposure gaps and all-in prices.

This course is designed to provide an introduction to the mechanics of financial trading - the reasons why people trade, the techniques they use and the associated risks.

By the end of this course participants will be able to:

• Interpret price quotations used in international money market and debt capital markets
• Interpret spot and forward foreign exchange rates quotations and understand the risks associated with FX positions
• Calculate yield and market risk on fixed income positions using appropriate day-count and compounding conventions
• Derive synthetic eurocurrency rates from positions combining forward FX and money market instruments
• Use interest rate and currency swaps to structure asset and liability swaps
• Identify the main risks associated with an options trading position and explained how these may be managed
• Calculate the Value at Risk on any position, given a variance covariance matrix

   
         
  This programme offers a unique opportunity to apply academic
  theory and trading strategies in a dynamic, fast-paced trading
  environment where individual competencies will also be
  

measured and tested.

Supported by:

 

Day 1

Registration commences at 8:30

Programme runs from 9:00 - 5:00 daily

Money Markets & Foreign Exchange

Money Market Rates and Settlement

· Calculations

· Exercises involving the calculation of accrued interest

· Settlement amounts from quoted rates

· Discount rate to yield conversions

· Money market yield to bond equivalent yield conversions

Trading Money Market Instruments on

· RiskManager Trading Simulation™

· Fixed deposits and negotiable instruments

· Mismatch strategies

· Cost of funding and breakeven calculations

· Factors affecting the yield curve

· Quantifying risks on money market positions

· Assessing profit/loss potential; setting stop-loss levels

Overview of Money Market Derivatives

· Structure, settlement and applications of the FRA

contract

· Derivation of forward rates

· Analysis of credit risk on FRA positions

· Comparison with the three month interest rate futures

contract

Spot Foreign Exchange

· Settlement dates and procedures

· Two-way prices and bid-offer spread

· Direct, reciprocal and cross rate calculations

Trading Spot FX on Risk Manager Trading Simulation™

Participants gain fluency in quoting spot rates and managing

FX risks in a fast-moving market. Again, we reinforce

profit/loss assessment and stop-loss disciplines. At the end

of this session the tutor will illustrate the use of short dated

swaps to roll over FX positions.

Outright Forward FX

· Contract structure and typical corporate applications:

managing transaction and translation exposures

· Forward fixed dates calculations

· Arbitrage pricing from spot and interest rates

· Interpreting market quotations

· Synthetic contracts: non-deliverable forwards

FX Swaps

· Contract structure

· Corporate and dealing room applications

Day 2

Bonds and Swaps

Bond Pricing and Yield

· Clean and dirty price. Accrued interest day-count

conventions (actual/actual, actual/365 and 30/360)

· PC exercises calculating current yield; yield to maturity

(YTM); yield to call / yield to put, and horizon yield on

various types of bonds

· Conversion between annual and semi-annual YTMs

· Difference between YTM and horizon return

· The benchmark yield curves and yield curve strategies

· Repo costs and risks, carry and breakeven calculations

Bond Risks

· Concept of Macaulay duration and properties

· Modified duration and basis point value (BPV)

· Concept of convexity and implications

Trading Corporate and Government Bonds on

RiskManager Trading Simulation™

· In this session participants formulate yield curve and

credit spread strategies.

Interest Rate Swaps

· Key terms of swap contract. Calculation of net settlement

amounts

· Interpretation of swap rate quotations

· Calculation of net all-in rates on asset and liability swaps,

adjusting for:

· Annual or semi-annual rate quotation

· Bond or money market day-count conventions

· Pricing swaps (and hedging) off government bonds

· Factors driving the swap spread

· Revaluating swap positions and pricing exotic swaps using

· the spot curve

Other Types of Swaps

· Currency swaps: key differences with interest rate swaps;

quoting conventions; comparison with FX swaps;

generating fixed/fixed and fixed/floating currency swap

rates from interest rate swaps and basis swaps

· Equity swaps: calculation of net settlement amounts;

typical applications

Day 3

Options and Risk Management

Key Options Concepts and Terminology

· Calls, puts, American/European; premium and exercise

· Calculation of breakeven on options trades. Calculation of

intrinsic value and time value

FX Options

· Market quotations, premium payment and expiry

settlement (cash or physical)

Interest Rate Options

· Interest rate guarantees, caps, floors, collars and

swaptions: structure, settlement and market quotations

Options Pricing and Risks

· Intuitive explanation of factors driving options prices

· Put-call parity

· Historic & implied volatility

Trading and Managing Option Risk with

RiskManager Trading Simulation™

· Participants will trade and manage an option portfolio,

exploring option sensitivities: Theta, Vega, Rho, Delta and

Gamma

· The session will also expose participants to delta hedging

and gamma risk

Risk Management Principles

· Review of: market risk; credit risk; operational risk; other

risks

· Portfolio risk and Value at Risk (VaR) principles

· Analytical, simulation and stress testing techniques

· The role of the risk manager in a trading house

Trading Competition

Participants will be given the opportunity to put their

trading skills and techniques to the test in a competitive

environment. Split into teams, participants will trade and

manage a variety of positions in different markets

simultaneously using RiskManager Trading Simulation™

Course summary and close

• David Hayes

  David has over twenty six years trading and treasury experience covering the full range of risk management with OTC and exchange traded derivative instruments. He spent three years as a futures trader on the Chicago Mercantile Exchange setting up the Eurodollar futures trading operation and six years as Group Treasurer of Pechiney World Trade. David was most recently a Director of Prebon Marshall Yamane the premier institutional broker with 30 offices world-wide and also Managing Director of PTS. Whilst at Prebon David played an active role in their new product development particularly repo, credit derivative, NDF and energy operations.

Trading Simulation – Putting Financial Theory into Practice

Interested in holding this course in-house? Please fill out your details and a member of our team will be in touch with more information.

Debt Capital Markets

17-19 Sep 2012 (London, UK)

This intensive 3 day course will teach you debt financing and the types of borrowers and instruments available.

How the Financial Markets Work

11-15 Jun 2012 (London, UK)

An introduction to international money and capital markets

Covered Bonds

18-20 Jun 2012 (London, UK)
10-12 Dec 2012 (London, UK)

This Euromoney training course is designed to teach you the new dynamics of the covered bonds market post credit crisis.

Understanding the Trade Lifecycle

2-4 Jul 2012 (London, UK)

What IT & Operations Professionals Need To Know About The Processes Behind Trading

London School of Corporate Banking

18-22 Jun 2012 (London, UK)

Reviewing the main challenges of corporate banking in the post 2008 and 2011 banking crisis environment

School of Bonds & Fixed Income Products

10-15 Sep 2012 (South of England, United Kingdom)

Expand your knowledge on structures and applications of bonds and fixed income products.

FX & Money Markets

3-6 Jul 2012 (London, UK)
4-7 Dec 2012 (London, UK)

The aim of this 5 day course is to teach delegates how to analyse market dynamics, instruments and arbitrage and hedging opportunities.