Agenda

Agenda

Derivatives Risk Management under COVID 19 | Agenda

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Live virtual course | Agenda timing is in HKT/SGT

Respective time in AEST:
Start: 11:00am
Break: 1:00pm
Finish: 2:15pm
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09:0010:00

Introduction to Derivatives

10:00 - 11:00

  • What is a derivative?
  • Why are people worried about derivatives?
  • Derivatives pre crisis
  • The market post crisis
  • Types of instrument
  • Key concepts
  • Benefits and uses of derivatives
  • The role of the central counterparty
  • What can go wrong?
  • Hedging and trading
  • Key risks arising, including:
    • Liquidity
    • Credit risk
    • Client concerns
    • Pricing concerns
    • Legal risk
    • Margin and central counterparty

10:0011:00

Risk Management of Derivatives

10:00 - 11:00

  • The role of risk management
  • The governance of derivatives
  • The role of ALCO
  • Stress testing and scenario modelling
  • What needs to be reported?
  • How has risk management changed due to COVID?
  • The yield curve
  • The impact of low interest rates
  • The concerns over models and modelling approaches

11:0011:15

Break

10:00 - 11:00

11:1512:15

Forward Transactions

10:00 - 11:00

  • Pricing a forward contract and the importance of Libor
  • Documenting a forward contract
  • Introduction to the ISDA
  • Confirming and settling forward contacts
  • The risks of forward transactions
  • Risk management and forward transactions 
  • Validation to future

09:0010:00

Futures Contracts

10:00 - 11:00

  • Introduction to futures contracts
  • The role of the futures exchange
  • The nature of futures contracts
  • The role in trading
  • Pricing a futures contract 
  • Hedging with futures
  • The importance of margin accounting
  • Confirmation and settlement
  • Risk management of futures transactions

10:0011:00

Derivative Controls and Methods

10:00 - 11:00

  • Limits and thresholds
  • Monitoring limits and reporting
  • Exception based escalation
  • Duration and convexity
  • Variance and co-variance
  • Correlation
  • Simulation including Monte Carlo
  • The Greeks
  • Distributions
  • Standard Deviation
  • Model risk and Basel
  • Backtesting and validation 
  • The risk management of models 

11:0011:15

Break

10:00 - 11:00

11:1512:15

Options Contracts

10:00 - 11:00

  • Introduction to options
  • Options terminology
  • Traded vs OTC
  • Option premium
  • Confirmation and settlement
  • Volatility
  • Pricing an option – 
    • Binomial model
    • Black Scholes
    • Other approaches
  • The importance of the yield curve
  • Risk management of options contracts

09:0010:00

Swaps contracts

10:00 - 11:00

  • Introduction to swaps
  • Swap definitions
  • Quality spread differential
  • Interest rate swaps
  • Currency swaps
  • Pricing interest rate swaps
  • Swap valuations
  • Model risk and the importance of pricing feeds
  • Confirmation and settlement 
  • Counterparty credit risk
  • Collateral and collateral management

10:0010:15

Break

10:00 - 11:00

10:1511:15

Documentation

10:00 - 11:00

  • ISDA master agreement
  • Relationship to credit risk
  • ISDA definitions
  • ISDA agreement structure
  • Outline ISDA agreement
  • Force majeur
  • Netting