Interest Rate, Currency Derivatives Products with Market & Counter-party Credit Risk Capital Charges

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.

In the first session vanilla interest rate derivatives are presented (Swaps, Cross Currency Swaps, Short Date STIR products in a relatively simple and intuitive manner. Session Two introduces Exotic Rates Products, including Capped FRNs, Reverse Floaters and CMS products, Swaptions & Callable Bonds. For both sections structured product applications are presented. Session Three reinforces the principles of vanilla currency options, a revision of essential risk management metrics including the role of Vega & Vanna in the pricing of path-dependent option products. Session Four deals with second generation currency Derivatives, including barriers, digitals vega & variance swaps. For both sections structured product applications are presented. Session Five deals with Counterparty Credit Risk issues with a focus on liquidity and capital implications for the cost of vanilla & exotic structured derivatives products. Metrics such as CVA, DVA, FVA, MVA and collateralisation issues and assumptions are presented. Session Six introduces the new market risk BIS regulatory infrastructure under the title of Fundamental Review of the Trading Book (FRTB) due to be operationally effective 01 January 2022. Additional costs and further computational requirements will be the focus of this session..

Course Outline

  • Interest Rate derivatives
  • Currency Derivatives
  • Market and Counterparty Credit Risk
  • Fundamental Review of the Trading Book (FRTB)


Contact Us


Nov 01 2021


04:00 - 13:00




ICAP Training Solutions (Pty) Ltd