Events
Pricing and Hedging Interest Rate and Credit Risk Sensitive Instruments
London, 27-28 November 2019
This in-depth and hands-on course has been designed to meet the practical needs of risk managers and portfolio managers. The approach is intuitive, mathematically simple and emphasizes models implementation with applications to representative sample financial instruments, with both Excel spreadsheets and R code examples. As an intermediate level course, attendees should already have some familiarity with the main fixed income securities, as well as fundamental numerical and Excel skills. Programming skills are not a prerequisite.
Agenda:
- Day one:
- Discounted Cash Flow Analysis
- One-Factor Interest Rate Risk Metrics
- Multi-Factor Interest Rate Risk Metrics
- Hedging Interest Rate Risk
- Day two:
- Bond Pricing with Binomial Models
- Pricing Interest Rate Derivatives and Defaultable Bonds
- Pricing Credit Derivatives and Hedging Credit Risk
- Asset-Backed Securities
Speaker:
- Andrea Ruberto, Senior Risk Manager, AZ Fund Management
Website:
Valuation and Hedging: Options, Swaps and Swaptions
London, 5-6 June 2019
This course is designed to help those working in financial institutions to understand the different fixed income products and how their structures work. The course will cover bonds, swaps, options, swaptions and more complex topics such as interest rate derivatives and volatility, convertible bonds and Bermudian swaptions. This course is also ideal for those working in risk who want to understand why their traders are hedging and what these trading strategies are.
Agenda:
- Day one will cover the essentials of fixed income taxonomy introducing different products and how they are traded. These sessions will be followed by topics on modelling and pricing. There will be a session on interest rate modelling discussing the factors affecting pricing and hedging and how to choose the right models. This will be followed by a session on pricing interest rate derivatives involving construction of yield curves and convexity.
- Day two will look at hedging strategies and more complex topics briefly touched upon in day one. Presentations will cover convertible bond pricing and multi factor models. A session on hedging interest rate risk sensitive instruments will help delegates understand the different metrics and risks with hedging derivatives through a case study of a hedging program. The course will end with sessions on interest rate derivative Libor market model and swaps and swaptions.
Speakers:
- Suman Datta, Head Portfolio Quantitative Research, Lloyds Banking Group
- Valérian Branco, Co-Founder, GOLDBAUM
- David Saab, Managing Director, Aperture Partners
- Dr Jan De Spiegeleer, Co-Founder, RiskConcile
- Emiliano Papa, Director, Deutsche Bank
- Andrea Ruberto, Senior Risk Manager, AZ Fund Management
Website: