Capital Market*Training

Target group
  • Content

    The newly designed Capital Market*Training places a focus on risk measurement, reporting and management for derivatives and structured products. The teams of participants manage flows for the "long" book consisting of interest, liquidity and spread risks. Step-by-step, participants will work out the necessary prerequisites for a proper measurement of risk and returns within the individual risk categories and thus learn about and train their application in real-live work situations.

    • The zero curve and the pricing of derivatives with a term of over one year
      Pricing of forward rates, forward swaps, amortising swaps, step-up swaps, balloon swaps, fixing in-arrear swaps and constant maturity swaps
    • The credit triangle and the pricing of credit products
      Correlations between credit spread, probability of default and recovery rate and their impact on pricing and valuation of credit default swaps
      Methods to determine credit spreads, assumptions and consequences for the construction of the credit spread curve
    • Structured products and their pricing
      Replication and pricing of reverse floaters, steepeners and flatteners, snowball bonds with and without interest caps and floors, with and without in-arrears adjustment
      Securitisation structures: conventions, pricing and waterfall calculations
    • Risk measurement
      Functionality and conclusions of risk measurement methods, VaR approaches for measuring interest, basis, liquidity and credit spread risks
  • Cyber*Preparation

    • Finance mathematics for the money and capital markets
    • Fixed income markets – terminology, conventions and pricing
    • Interest rate swaps – terminology, conventions and pricing
    • Credit and market risk management
  • Target group

    • Bond dealers, interest rate and derivatives traders
    • Treasury and ALM managers
    • Corporate bankers offering structured products
    • Risk managers and risk controllers
    • Nostro account managers

Capital Market*Training

€ 3,000 (exkl. VAT)

Vienna, dates on request

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