Quality Seal Emagister EMAGISTER CUM LAUDE

Managing Risk of Exotic Products

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

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Información importante

  • Short course
  • En 2 sedes
  • Duración:
    2 Days
  • Cuándo:
    A elegir
Descripción

New market conditions have changed forever the way in which managers need to think about complex risk. In this course we look at lessons from the recent financial crisis and how to avoid explosions of risk from illiquid and complex products during times of financial stress. Lessons learned call for a re assessment of tools available for the management of exotic risk. More than ever, it is necessary for managers to gain a handle on complexity and understand the most common mistakes made by traders and financial engineers when they model and hedge exotic structures. This workshop will explore through practical real life examples and PC based exercises strategies and techniques for robustly managing these risks on a day to day basis. Presented by Simon Acomb.

Información importante
¿Qué objetivos tiene esta formación?

Requisitos: Basic knowledge of financial markets and derivative instruments Elementary mathematics and statistics (probability distributions mean, variance and correlation) Microsoft Excel

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
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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
Financial
IT risk
Managing Risk
Financial Training
Convexity
Liquidity
Hybrid
Stochastic volatility
Correlation Risk
Cross risk
Cliquet products
Equity correlation
Exotic Products
Exotic Products

Temario

Day One

Introduction
Arbitrage free pricing and model greeks
Moving beyond vanilla options
Reducing the volatility of your P&L
Modelling a volatility surface
Understanding how a volatility surface changes with the underlying
Sticky, floating and more exotic forms of delta
Managing Delta outside of Black Scholes
A taxonomy of exotic pricing models
The relationship between model choice and delta
Managing delta when you only use a single model
Delta risk management with multiple models
Coping with slow numerical methods
Hedging Vega
How do you define vega for exotic products?
Choosing a hedging instrument Option, Var Swap, or VIX
Alternative ways of measuring volatility sensitivities
Calculating a best volatility hedge
Principal component analysis and vega hedging
Parameter sensitivities and vega hedging
Correlation Risk
Products with correlation risk exposure
Measuring equity / equity correlation
What is a correlation smile
Measuring explicit correlation risk
Hidden correlation risk
Hedging correlation exposure
Day Two

Managing risk with scenarios
Difference between scenarios and stresses
Impact of liquidity ensuring futures risks can be managed
Relationship between scenarios and greeks
Ensuring consistency of your scenarios
Scenarios and barrier features
Fat tails and hedging extreme events
Managing Risk with Var
Risk drivers and Var calculations
Greek based Var and simulation based Var
What to do with risk not captured in Var
Impact of liquidity
Hybrid and cross risk
Measuring hybrid risk between an asset and interest rates
Explicit and implicit credit risk
Impact on one risk factor on another
Examples of cross risk in cliquet products
Switching risk
Stochastic Volatility and Volatility Convexity
When do you need a stochastic volatility model?
Reporting volatility convexity
Hedging volatility convexity
Managing a book of volatility products