This course has been customised to explore the pricing, and structured product applications
for bank capital markets groups, as well as their institutional and hedge fund clients. Vanilla
interest rate derivatives are presented in a relatively simple and intuitive manner before
progressing to Exotic Rates, including Capped FRNs, Reverse Floaters and CMS products. For
both sections, potential structured product applications are presented. Day Two deals with
Exotics Currency Derivatives, a family of Barrier Options as well as Vega and Variance swaps.
Currency liquidity conditions are dealt with as a constraining factor in effective pricing
applications. Market Risk and Counterparty Credit Risk issues and pricing influences are
presented as elements that must be considered by interbank risk trader, derivatives sales
traders, CVA traders and balance sheet managers.
Who Should Attend?
The course is designed for market and counterparty risk practitioners in the trading and
structuring space. Balance Sheet and CVA managers would find the progression of pure
market pricing to 'risk neutral' pricing and invaluable exercise in understanding the costs to
the bank in both liquidity and capital terms.