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Derivatives: Mechanics, Valuation and Applications
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Derivatives: Mechanics, Valuation and Applications
  • Overview
  • Objectives & Outline
  • Methodology
  • Participant Profile
  • Trainer
  • Overview
    PROGRAMME DETAILS

    DATE

    21 – 22 March 2018

    TIME

    9:00 AM – 5:00 PM

    VENUE

    Asian Banking School

    SIDC CPE

    10

    CPE Points
    Many banks use financial derivatives to manage their risks, reflect their trading and investment view, or service their client’s hedging requirements. However, when not understood and managed properly, derivatives could expose the bank to unintended risks.

    This is an intermediate course on financial derivatives which provides participants from different departments (financial markets, treasury, internal audit, compliance, accounting and risk management) a comprehensive overview of financial derivatives from a mechanics, valuation and application perspective. 
    LEARNING LEVEL
    Intermediate
    PROGRAMME FEE*

    AICB MEMBER

    MYR

    2,500

    / PAX

    NON-MEMBER

    MYR

    3,000

    / PAX

    *inclusive of GST
  • Objectives & Outline
    LEARNING OBJECTIVES
    By the end of the programme, participants will be able to:
    • Discuss the mechanics and features of basic financial derivatives (forwards, swaps and options)
    • Explain the risk and balance sheet management applications of financial derivatives (from the bank’s perspective)
    • Discuss the use of derivatives from a corporate perspective
    • Understand pricing and valuation of financial derivatives
    • Develop a simple spreadsheet to price and value financial derivatives
    • Understand the basic thought process in the successful design and structuring of derivative products
    PROGRAMME OUTLINE
    Mechanics of Derivatives
    • What are derivatives
    • History of derivatives
    • Different types of derivatives (forwards, swaps and options)
    • Introductory financial and mathematical concepts

    Forwards: Mechanics, Valuation and Applications
    • Introduction to Forwards
    • Mechanics of Forwards
    • Interest Rates and Time Value of Money
    • Pricing Forward Contracts
    • Case Study: Pricing and Valuation of Forward Contracts
    • Applications of Forward Contracts
    • Case Study: Hedging Foreign Exchange Risk Using Forward Contracts
    • Case Study: Carry Trading Strategies Using Forward Contracts

    Interest Rate Swaps: Mechanics, Valuation and Applications
    • Introduction to Interest Rate Swaps
    • Mechanics of Interest Rate Swaps
    • LIBOR and Floating Rates
    • Pricing Interest Rate Swaps
    • Case Study: Pricing and Valuation of Interest Rate Swaps
    • Applications of Interest Rate Swaps
    • Case Study: Hedging Loans Using Interest Rate Swaps

    Cross Currency Swaps: Mechanics, Valuation and Applications
    • Introduction to Cross Currency Swaps
    • Mechanics of Cross Currency Swaps
    • Pricing Cross Currency Swaps
    • Case Study: Pricing and Valuation of Cross Currency Swaps
    • Applications of Cross Currency Swaps
    • Case Study: Funding Arbitrage Using Cross Currency Swaps

    Options: Mechanics, Valuation and Applications
    • Introduction to Options
    • Types of Options
    • Mechanics of Options
    • Basic Option Payoffs
    • Fundamental Drivers of Option Pricing
    • Binomial Option Pricing
    • Case Study: Pricing and Valuation of Options (Binomial Method)
    • Black-Scholes Model
    • Case Study: Pricing and Valuation of Options (Black-Scholes)
    • Monte Carlo Simulation
    • Case Study: Pricing and Valuation of Options (Monte Carlo Simulation)
    • Applications of Options
    • Case Study: Downside Hedging Using Options

    Financial Engineering and Structuring
    • Basic Principles in Derivatives Structuring
    • Structuring Investment Solutions Using Derivatives
    • Structuring Corporate Hedging Solutions Using Derivatives
  • Methodology

    Lecture, Case Study, Practical Spreadsheet Exercises

  • Participant Profile
    Bank staff in trading, sales, internal audit, compliance, market risk management, credit risk management, finance, accounting and corporate banking
  • Trainer

    Philip Te

    Philip Te is known for his down-to-earth approach in teaching complex topics such as derivatives and risk management. He has conducted over fifty classes on financial derivatives (including derivatives accounting under IAS 39) for different banks, banking associations, insurance companies, corporations and educational institutions.

    He is currently Vice President for a Client Solutions Group at a global commercial bank where he is involved in designing and structuring derivative solutions for corporate and insurance companies. Prior to this, he was with a commercial bank heading their financial engineering and structured products department. He has also worked at the Ernst & Young Financial Services Risk Management group where he handled multiple derivative audit support engagements.
    Philip is a Chartered Financial Analyst (CFA) and a certified Financial Risk Manager (FRM). He is the author of the two-volume book on bank risk management published by Oxford University Press and the Asian Institute of Chartered Bankers.

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