Market Risk Management & Controls

Pricing Cost for BPP PD Members: £880.00 + VAT : 12 CPD Hours (£2020.00 + VAT for non BPP PD Members - Click here for details of our membership scheme.) Skip to Course Dates and Booking

Course level

Intermediate

Delegates

This course will be of benefit to dealers, investors, risk managers, auditors and support staff with a good basic knowledge of the financial markets who need to develop their understanding of the risk management aspects.

Overview

This two-day course aims to ensure recognition of where market risk is generated in financial instruments. It analyses the levels of market risk in a variety of different financial instruments and the sensitivity of portfolios to changes in market conditions.

In order to build simple Excel models throughout the course, a basic knowledge of Excel is required.

Delegates are advised to bring a memory stick, if possible, in order to save information.

Learning outcomes include obtaining a greater understanding of:

• Risk Definitions
• Identifying types of risk
• Identifying the sources of risk
• Basic financial maths
• Interest rate risk
• Liquidity risk
• Operational risk
• Interest Rate Risk
  • Present value of a basis point (PVBP)
  • Valuing medium-term cash flows
  • Compound discount factors
  • Establishing grid points
  • Identifying the risk in different periods
  • Weighting cash flows
• Interest Rate Risk Management
• How to use derivatives to hedge risk
• Derivatives/Cash - when to use
• Sensitivities in Bond Cash Flows
• Basic structure of cash flows
• Discounted cash flows
• Duration
• Macaulay
• Modified
• Convexity
• The Zero Coupon Yield Curve
• Why do we need zero coupon curves?
• Deriving the curve from coupon related yield curves
• FX Risk
• Spot open position
• Position keeping
• Revaluation
• Creating forward portfolios
• Interest risk in FX
• FX forward revaluations
• Valuing forward portfolios through Net Present Valuations (NPV)
• Net open position in forward portfolios
• Establishing value in forward portfolios
• Inherent interest rate risk in forward portfolios
• Options
• Basic terminology and definitions
• Risks in options
• The 'Greeks' with particular attention to Delta and Gamma
• Managing option risk
• Linear/Non-linear profit profiles

Course Dates

Location	Dates	Time	Availability
London	08 - 09 Feb 2020	9:00 AM - 5:00 PM	Spaces	Book Now
London	11 - 12 May 2020	9:00 AM - 5:00 PM	Spaces	Book Now
London	26 - 27 Aug 2020	9:00 AM - 5:00 PM	Spaces	Book Now
London	15 - 16 Nov 2020	9:00 AM - 5:00 PM	Spaces	Book Now