PROGRAMME CONTENTS
Day 1
Sessions 1 and 2
A general revision of Fixed Income Maths-Interest Rates, Day Count Conventions, Migration from one interest rate to another, YTM, Duration, Convexity, Zero Curve and its derivation, Par Yield, Swap Curve.
Exercise 1 : Determining Duration and Convexity for a defined portfolio
Sessions 3 and 4
Risk Management Issues
Defining risk and in particular financial risk
Quantifying risk
Risks in a portfolio
Steps in risk management
Principles of managing risk
Determining risk appetite
Exercise 2 : Risk appetite for a company with a defined future financials
Day 2
Session 1
Risk transference using derivatives products
Approach to derivative pricing and consequently the market structure of constructing them from available market products.
Broad approaches to the use of the various products and how to choose between competing products.
Session 2
Pricing a forward and future under various circumstances
Understanding FRA and its pricing approach. Using alternatives where available.
Exercise 3 : Developing a pricing model for forward and FRA
Session 3
Understanding options and how they differ from other products.
Using model in Excel to price an option. Understanding the concept of Implied volatility.Session 4
Understanding Swaps and their structures.
Exercise 4 : Pricing a currency swap and Interest Rate Swap.
Day 3
Sessions 1 and 2
Engineering new risk management products:
a.Combining building blocks to produce new instruments
b.Combination using Forwards and Swaps, Options and Forwards, Options and Swaps, Options with other Options
Exercise 5 : Developing a suitable product for a company with a defined risk exposure
Session 3
Option Greeks and their specific uses. Delta, Gama, Theta, Vega and Rho
Second Generation Options and their uses
Exercise 6: Using Deltas in practice
Session 4For time over-runs, revisions, discussions, questions and answers.
TARGET AUDIENCE
Finance professionals
DURATION & TIMINGS
3 days
9.30 am to 5.00 pm
FEES
Rs. 15,000.00 + 12.36% (Service Tax + Education Cess) per participant inclusive of tution fee,study material and meals.
