Course Details
Course Outline
5 days course
BASIC INTEREST RATE CALCULATIONS
- The principles of the time value of money
- Day count and day basis
- Simple interest calculations
- Interest rate conversions
- Bond basis and money market basis
- Yield curves
CASH MONEY MARKETS
- Value dates and end-end conventions
- Fractions, basis points, and dealing on bid offer rates
- Discount instruments
- Yield instruments
- Commercial paper
- Repurchase agreements
FOREIGN EXCHANGE
- Value dates and end-end conventions
- Fractions, basis points, and dealing on bid offer rates
- Discount instruments
- Yield instruments
- Commercial paper
- Repurchase agreements
FORWARD-FORWARDS, FRAS AND MONEY MARKET FUTURES & SWAPS
- Calculating forward interest rates
- Forward Rate Agreements
- Short-term interest rate futures
- Interest rate swaps
OPTIONS
- Call and put options and option styles
- Intrinsic and time value
- Straddles, strangles and synthetic long and short assets
- Option Greeks
PRINCIPLES OF ASSET & LIABILITY MANAGEMENT
- The meaning and the general concepts of ALM
- Risk factors on the asset and the liability side of the balance sheet
- Gap management: interest and duration mismatches
- Asset and liability management techniques
- The interaction between bank capital and leverage and economic and regulatory capital
- describe the formulation of Liquidity Stress Test Scenarios and the use in ALM
PRINCIPLES OF RISK
- Market, credit risk, and Operational risk
- Risk mitigation using limits and VaR methods
- Netting, documentation, and Capital adequacy
- CLS and Straight-Through Processing
THE NEW MODEL CODE OF CONDUCT
- The code of conduct and practice for the OTC Markets
