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Managing FX Risk Using Derivatives

London Financial Studies
En London (Inglaterra), New York (Estados Unidos)

3001-4000

Información importante

Descripción

In our globalized world, there are few areas of business left untouched by Foreign Exchange (FX) risk. This programme will give you the confidence to manage FX risk – using a variety of derivatives products – and to identify, measure, reduce and report different kinds of FX risk.

Delegates will gain a solid understanding of the FX markets and an insight into the products and methods that can be used for managing FX market risk. Examples and case studies are used throughout the course, both to illustrate concepts and to demonstrate the motivation behind the development of financial products.

A substantial part of the programme is devoted to workshop sessions, in which delegates are able to work through practical examples and case studies, helping them to understand and retain the knowledge to be applied back at work.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Beginners in FX derivatives
Brokers, salespeople
Buy-side professionals
Treasurers, corporate finance professionals
Risk managers
Fund and investment managers
Regulators
IT professionals
Accountants, auditors

Requisitos: Basic understanding of financial markets and basic knowledge of Microsoft Excel A basic familiarity with derivatives is recommended although not essential

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
25 septiembre 2017
London
34 Curlew Street, se12nd, London, Inglaterra
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A elegir
New York
New York, Estados Unidos
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¿Qué aprendes en este curso?

Risk
Foreign Exchange
Trading
Spot Market
Market
Currency Swaps
Options
IT risk
Market Risk
Accountants
Derivatives
Straddles
FX Market Risk
Scenario analysis
Risk reversals
Vanilla
Electronic trading
Investment manager

Temario

Day One

Overview
  • Background and global view
  • Impact of political and economic events on FX markets
The Foreign Exchange Spot Market
  • Mechanism of FX spot trades
  • Market conventions for quotation and settlement
  • Currency triangles and the chain rule
  • Bid offer spreads, liquidity and depth
  • Electronic trading platforms
  • Managed and restricted currencies: pegged exchange rates, onshore/offshore markets
FX Forwards and Futures
  • FX market risk and the concept of hedging
  • Forward contracts: strike calculation, settlement and market quotation conventions
  • Mathematical formulae for the fair forward rate, with worked examples
  • Electronic trading platforms
  • How futures contracts work
  • Trading on an exchange, margin treatment
  • Payoff scenario analysis
Workshop: Manage FX Risk using a Forward Contract Work through the lifecycle of an FX forward contract: calculate the fair forward rate; set the strike; specify the OTC contract; re value your position through its life; settle the contract with the counterparty

Currency Swaps
  • Managing FX risk over extended time periods
  • The structure of a currency swap and its use as a hedging/re structuring tool
  • Relationship with bonds and FX forwards
Introduction to Vanilla Options
  • The concept of optionality
  • Specification and mechanism of vanilla options
Workshop: Manage FX Risk using a Dual Currency Deposit (DCD) Explore the FX risk in a deposit under multiple currency views. Demonstrate how vanilla options can be used to manage the risk. Structure a Dual Currency Deposit. Analyze different outcome scenarios

Day Two

Properties of Vanilla Options
  • Put Call parity and other risk relationships
  • Properties of vanilla options: premium, P&L, time value, intrinsic value, moneyness
  • Market conventions for quotation – the 6 quotation styles and how to convert between them
  • Variation of premium with market and contract parameters
  • Electronic trading platforms
Vanilla Options Structures
  • Spreads, straddles, strangles, risk reversals, and other structures
  • The risk characteristics of different structures and their relative merits for hedging or speculation
  • Scenario analysis
Workshop: Manage FX Risk using a Risk Reversal (I) Assess an FX risk position. Devise and explain a vanilla structure hedge. Specify the parameters of the structure. Perform scenario analysis

FX Exotic Options
  • Variations on the vanilla: cash settlement, late delivery, European digitals, quanto options
  • Barrier options
  • Volatility swaps
Further topics in FX Risk Management
  • Non deliverable forwards
  • The Dual Currency Deposit (DCD)
  • Currency overlay
Measuring and Reporting FX Market Risk
  • Introduction to the option “Greeks”
  • Spot ladders and other risk reports
  • Handling multiple currency pairs
Workshop: Manage FX Risk using a Risk Reversal (II) Assess an FX risk position. Consider various barrier options as hedges. Choose the most suitable option type. Specify the terms of the contract. Calculate the size of hedge needed. Perform scenario analysis