Fixed Income Simulation – Bonds, Swaps & Credit
The emphasis of this course to guide delegates through the make-up of local and international cash and fixed income derivatives, with an eye to constructing structured products for various client groups. A cash bond typology is presented, followed by various pricing conventions followed by different global markets. A linchpin of the course is to direct delegates towards the risk metrics shared by all fixed income products, namely, duration, DV01 and convexity. We introduces vanilla interest rate derivatives, (primarily interest rate and basis swaps), which are presented in a relatively simple and intuitive manner, before progressing to more exotic rates products, such as Capped FRNs, Reverse Floaters and CMS Products. The facilitator also deals with interest rate option-related products such as swaptions, caps and floors, callable, convertible and contingent bonds. Market Risk and Counterparty Credit Risk issues and pricing influences are presented as factors that are an essential must for interbank traders, derivatives sales and structuring units, CVA traders and balance sheet managers. Each module’s material is reinforced by a period devoted to the simulation of pricing and managing individual products, as well as portfolios of rates products. Module Four consolidates what you’ve learned so far in practical simulation exercises. .
Andrew has over 25 years’ experience in financial markets both for international and local (South African) institutions. He was a trader and senior manager in the derivatives and cash-trading environment, and worked as a Derivatives Trader at Nedcor, Standard Bank and Corpcapital Bank, trading foreign exchange, fixed income and equity assets. He was head of the ABN AMRO South Africa Money Market and Foreign Exchange unit. From 2008 to 2014 he was Head of Market and Trading Risk at the Purple Capital Group. This set the basis for the next period as he moved into risk management for hedge funds and in the online trading environment. This allowed him to build on his skills as a market trader to construct risk management systems, which illuminated granular market exposures as well as a communication tool for the business executives. At the same time he began to spend an increasing amount of time training and lecturing both graduates and experienced staff in market products and economics.