Complex Derivative Transactions: A Credit Masterclass Workshop

FitchTraining
London, United Kingdom

Course Format: Classroom | E-learning | Virtual Class | Online | On-site | Blended | Self-paced

Course Description:

'' The workshop is designed to teach participants how to assess the credit risk in complex derivative transactions. This will be done predominantly using a selection of real transactions which the participants will assess in small groups. The groups will make presentations on their findings and these will be discussed and assessed by all participants under the guidance of the trainer.
Specifically participants will be equipped to:

Assess the overall purpose for entering into a complex transaction
Draw diagrams to show the cash flows during the transaction
Assess what movements in underlying variables create credit risk
Estimate the amount and timing of the resultant credit risks.

CONTENT
ANALYTIC FRAMEWORK
Structured approach to transaction analysis
Purpose of transaction
Diagram of transaction
Cash flow of transaction
Risk drivers
Risk assessment and quantification
TRANSACTIONS
Risk assessment and estimation of pre-settlement risk for approximately twelve different transactions
Transactions to cover:
Interest rate risk, including swaps, options, and swaptions
Foreign exchange risk
Equity risk, including options and total return swaps
Credit derivative risk
One or two transactions based on more exotic underlying instruments (for example, a variance swap).
Risk assessment to involve assessing different types of credit risk:
Pre-settlement risk/current MTM
Settlement risk
Payment mismatch risk
Premium payment risk
Lending risk.
...''

Phone:+ 44 (0) 20 7201 2770

School Address:

28 Headfort Place, London, SW1X 7DH, United Kingdom.


Jobs & Resumes: London
Houses & Roommates: London
Travel Agencies: London

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