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Session 1 – Structured Products
What is a structured product?
Types of structured product
Asset back securities
Collateralised debt obligations
Collateralised mortgage obligations
The role of the special purpose vehicle
How to price structured products
What are the key risks?
Accounting for structured products
How to price a structured product
Session 2: Interest Rate Structures
Embedded options & swaps
Reverse floaters
Leveraged swap linked notes
Bonds linked to rates other than libor
Extendible and cancellable swaps
Embedded swaptions
Session 3 – Options Contracts
Introduction to options
Options terminology
Traded vs OTC
Option premium
Confirmation and settlement
Volatility
Pricing an option –
Binomial model
Black Scholes
Other approaches
The importance of the yield curve
Session 4 – Swaps contracts
Introduction to swaps
Swap definitions
Quality spread differential
Interest rate swaps
Currency swaps
Pricing interest rate swaps
Swap valuations
Model risk and the importance of pricing feeds
Confirmation and settlement
Counterparty credit risk
Collateral and collateral management
Session 5 – Introduction to Derivatives
What is a derivative?
Why are people worried about derivatives?
Key concepts
Arbitrage and the original purpose of derivatives – the mutual coincidence of wants
Benefits and uses of derivatives
Hedging and trading
Session 6 – Foreign Exchange
Banking book v trading book
Market conventions
Language of foreign exchange
The process of trading foreign exchange
Electronic and telephone trading
Dealing room controls
Currency terms
Session 7 – Forward Transactions
Introduction to forward contracts
Purpose of forward contracts
Pricing a forward contract and the importance of Libor
Documenting a forward contract
Introduction to the ISDA
Confirming and settling forward contacts
Session 8 – Futures Contracts
Introduction to futures contracts
The role of the futures exchange
The nature of futures contracts
The role in trading
Pricing a futures contract
Hedging with futures
The importance of margin accounting
Confirmation and settlement
Session 9: Equity Swaps
Fund management objectives
Using a swap with an equity price index
Example of cash flows of an equity swap
Total return swaps and other credit derivatives
Session 10 – What goes wrong in practice
Scenario modelling and derivatives
Bankers Trust
Barings
Allfirst
LTCM
Enron
Session 11 – Introduction to Advanced Topics
The management of interest rate risk
Introduction to collateralised instruments
Counterparty credit risk and derivatives
Legal risk and derivatives
Value at risk and Exposure at default
Loss given default and probability of default
Stress testing and liquidity risk
Scenario modelling
The impact of international accounting standards, IAS 39 and IFRS 7
Asset recognition and derecognition