Capital Market*Training

Description

New from autumn 2020 also bookable in hybrid format

The Capital Market*Training places a focus on risk measurement,
reporting and management for derivatives and structured products.
The teams of participants manage flows for the „long“ book consisting of
interest, liquidity and spread risks. Step-by-step, participants will work out
the necessary prerequisites for a proper measurement of risk and returns
within the individual risk categories and thus learn about and train their
application in real-live work situations.

Content

• The zero curve and the pricing of derivatives with a term of over one year
  Pricing of forward rates, forward swaps, amortising swaps, step-up swaps,
  balloon swaps, fi xing in-arrears swaps and constant maturity swaps

• The credit triangle and the pricing of credit products
  Correlations between credit spread, probability of default and recovery
  rate and their impact on pricing and valuation of credit default swaps
  Methods to determine credit spreads, assumptions and consequences for
  the construction of the credit spread curve

• Struktured products and their pricing
  Replication and pricing of reverse fl oaters, steepeners and fl atteners,
  snowball bonds with and without interest caps and fl oors, with and without
  in-arrears adjustment
  Securitisation structures: conventions, pricing and waterfall calculations

• Risik measurement
  Functionality and conclusions of risk measurement methods, VaR
  approaches for measuring interest, basis, liquidity and credit spread risks