_Tapping the flow potential to create added value
_In back everything is plain vanilla
_The „greeks“ of the interest book

_Story

Teams of participants manage the total interest book of the bank (overnight up to 30 years, all cash instruments, derivatives and structured products). Day-by-day they learn to increase the transparency of the interest book, while paying attention to the new customer flows of the daily business. The team with the best strategy wins this dynamic competition.

_Learning for the real world

Understanding the pricing of derivatives using the zero curve

• Tool Box
• The zero curve concept
• Learning by doing using models and examples
• Pricing of derivative instruments with special emphasis on instruments with a term of over one year: pricing models for FRAs, futures, interest rate swaps,forward swaps, amortizing swaps, step-up swaps, balloon swaps

Measuring, reporting and managing the risks of derivatives and structured products

• Risk management and risk measurement methods – How they work and what they tell us, separation of interest, liquidity and credit risks, risk management and limit systems using the value at risk (VaR) approach
• Mapping of derivatives and structured products
• Measurement of risk using the VaR approach
• Risk management and limit systems using the VaR approach

Understanding the pricing and mapping of structured products

• Pricing and mapping of structured products
• Reverse floater, zero bonds, constant maturity swaps (CMS)

Putting knowledge of pricing, mapping and risk measurement into practice

• Spread strategies
• Exploiting spread differences between instruments and markets
• Integrating spread risk into the risk limit system
• Yield curve trades in the capital market
• Convexity trades

_Target Group

• Treasury managers
• Securities dealers, interest rate and derivatives traders
• Corporate bankers offering structured products
• Risk managers and risk controllers