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Advanced Derivatives: Applications, Pricing & Hedging
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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.
You might be interested in another Financial Training programs.
This course is endorsed by GARP: Global Association of Risk Professionals.
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