Risk Management for the Debt and Equity Markets

Participants will learn to measure and manage financial risk, including interest rate and yield curve risks. They will also be exposed to the traditional approaches to managing risk, as well as the use of derivatives in risk management.

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register
email a sales rep
print this course

register
email a sales rep
print this course

No advance preparation required.
Introduction to Financial Risk Management or equivalent knowledge
"Professor Onochie was able to explain complex issues in a simple manner"
"Personally, I was not aware of the complex issues and high level of the course"
  • Credit Derivatives: Intermediate
  • Credit Derivatives: Intermediate - Evening
  • Equity Derivatives - Day
  • Equity Derivatives - Evening
  • Day 1
    Measuring Financial Risk
    • Interest rate and yield curve risks
    • Price value of a basis point (DV01)
    • Duration
    • Convexity

    Equity risks

    • Variance
    • Covariance
    • Correlation
    • Beta
    • Value-at-risk
    • Variance-Covariance
    • Delta-Gamma adjustments
    • Historical Simulation
    • Monte-Carlo Simulation
    Examples, exercises and cases: Measuring interest rate risk, foreign exchange risk, equity risks, and VAR

    Day 2
    Approaches to Financial Risk Management
    • Traditional approaches to financial risk management
    • Immunizations
    • Risk limits
    • Internal controls
    • Natural hedges in portfolios

    Using derivatives to manage financial risks

    • Forwards
    • Futures
    • Swaps
    • Options
    • Using exotics and other structures

    Asset-liability management

    • Maturity-Matching
    • Gap
    • Duration
    Examples, exercises and cases: Immunization, using futures, Duration gap

    Clients who register for this course will receive a complimentary 6 month subscription to the Financial Times and FT.com. The Financial Times is the world's most respected financial newspaper providing a broad assessment on finance, business and the industrial sector. Subscriptions will start within 6-8 weeks of the application process, and are limited to one per client. For questions about your subscriptions call 800-628-8088 or email uscirculation@ft.com. US and Canada enrollees only.

    Lunch included for all students taking day classes.