Capital Market*Training

The Capital Market*Training places a focus on risk measurement,
reporting and management for derivatives and structured products.
The teams of participants manage fl ows 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.
Content

  • 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, fi xing in-arrears 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 fl oaters, steepeners and fl atteners,
    snowball bonds with and without interest caps and fl oors, 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

Info

Dates

3 days Inhouse seminar – on request

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

 15.000,00

3 days Inhouse seminar

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