Advanced Derivatives: Applications, Pricing & Hedging course aims to train delegates on interest rates, commodity and currency hedging using advanced derivative strategies. The course covers knowledge about variously advanced derivatives and their application in hedging using real-life case studies and hands-on exercises.
This highly applied and practical course is designed for energy risk practitioners interested in enhancing their knowledge of best practices in valuation, hedging and risk management of derivatives portfolios.
Delegates are introduced to the most commonly used derivatives pricing models in energy trading organizations such as closed-form solutions and Monte Carlo simulation. The primary price processes for energy risk analysis such as Geometric Brownian Motion and Mean-reverting models are illustrated with pricing and risk analysis examples.
The course builds on the concepts introduced in DPH1 and DPH2 and explores advanced strategies used to price, hedge and manage the risk of derivatives in leading energy trading organizations. Delegates learn about the practical applications of the models and approaches from users of those models, not the quantitative developers.
In this Advanced Derivatives: Applications, Pricing & Hedging course we will talk about advanced market risk management topics such as marginal VaR analysis, backtesting VaR models and Extreme Value Theory (EVT) as well as risk metrics such as Earnings at Risk (EaR), Cash Flow at Risk (CFaR) and Economic Capital are covered with practical examples. Several case studies illustrate how to set an efficient system of risk limits and risk-adjusted performance measurement.
DPH3 also covers best practices in counterparty risk management. Metrics such as Potential Future Exposure (PFE) and Credit Valuation Adjustments (CVA) are introduced in the context of contract valuation and risk charges.
This highly interactive Advanced Derivatives: Applications, Pricing & Hedging workshop uses current case studies, Excel exercises, and group discussions to reinforce the concepts presented in the lectures.
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This course is endorsed by GARP: Global Association of Risk Professionals.
YOU WILL LEARN HOW TO
This course reviews advanced topics in discrete and continuous time market theory and derivatives pricing. The emphasis is on valuation and hedging and provides a more in-depth view of interest rate derivative pricing. After reviewing some classic no-arbitrage models, a range of alternative pricing models and approaches will be presented: no-arbitrage models linked to market practice, multi-factor models, the forward measure approach, and market models.
This course focuses on numerical methods and calibration tools necessary for working in the industry.
This course with extensive case studies covering:
Derivative Instruments and Markets
Forwards and Futures Markets
Interest Rate Forwards and Futures
Yield Curve Modelling Techniques
Interest Rate and Currency Swaps
Applications of Swaps in Managing and Trading Interest Rate Risk
Non-Linear Derivatives – Vanilla and Exotic Options
Option Pricing and Valuation
Option Risks and Risk Management
Interest Rate Options
More Advanced Interest Rate Models – Stochastic Term Structure Models
Mismatch Swaps and other more Complex Swap Structures
Structured Applications of Derivatives in Trading, Hedging, and Structured Products
Overview of the Credit Derivatives Market – Trends and Developments
Credit Default Swaps; Operational Practices and Market Conventions
Credit Risk Modelling and Pricing of Credit Derivatives
Credit Portfolio Risk Management – Practical Applications of Credit Derivatives
Second Generation Credit Derivatives and Structured Credit Products
IMPORTANT COURSE INFORMATION
Participants who fully attend this course and complete the test on the last day will receive a Strategic Axis Professional Certificate (SAPC). SAPC certificates are regionally recognized and can be quite valuable when applying for more senior roles within the organization or outside.
Strategic Axis is registered with GARP as an Approved Provider of Continuing Professional Development (CPD) credits. Strategic Axis has determined that this program qualifies for 16 GARP CPD credit hours.
COURSE OUTLINE