Swaps and Credit Derivatives
Information
This Two-Day will allow delegates to practice swap pricing, structuring and hedging techniques. Spreadsheet models will be used extensively to demonstrate issues under discussion. All sections of the course will involve case study work drawn from real examples. Special attention will be drawn to the use of these financial techniques as appropriate to your business.
Schedule
Day One
Session 1:
Introduction
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Financial Mathematics
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Discount factors, present and future value
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Construction of zero coupon model
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Yield curves and market conventions
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Swap spreads/government debt markets
Session 2:
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Generic Interest Rate Swaps
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Participants, asset and liability management
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Structuring and pricing
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Swap structures
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Liability swaps/Asset swaps
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Non-Generic Structures
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Forward starts
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Libor margins
Session 3:
Interest Rate Futures/FRAs/Swaps
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Futures pricing
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FRA pricing
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Futures: swap arbitrage
Day Two
Session 1:
Pricing Medium Term Foreign Exchange
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Combining discount
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factors Forward points
Session 2:
Currency Swap Structures
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Fixed/Fixed
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FX Swaps
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Basis swaps
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Fixed/Floating
Session 3:
Swap Risk Management
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Warehousing Risk
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Spread risk and hedging
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Timing mismatches
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Interest rate exposure
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Swap portfolio risk
Session 4:
Hedging with Bonds and Futures
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Use and misuse of duration
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Basis point and convexity
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Futures equivalency
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Floating rate risk management
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Spread risk
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Modified duration
Session 5:
What are Credit Derivatives?
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Market size
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Market development
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Main institutions
Session 6:
Credit Swaps
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Total return swaps
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Index products
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Market liquidity and pricing
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Default swaps
Session 7:
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Bond Market products
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Credit linked notes
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Practical difficulties
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Standardisation
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Bid/Offer spreads
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Documentation
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Risk diversification
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Capital arbitrage/Trading spreads
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Non cash credit portfolios
Course Close
Register interest
As every course we run is tailored to meet the specific needs of each client, we can only provide an estimate after fully understanding your specific requirements. Please complete the form below of call +44 (0) 208 894 4977 to discuss how Taylor Associates can help you.