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Advanced Swaps

by Alan McDougall

Languages: English

Price (from): €3,300 / day

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About the trainer:

Alan helps banks and their clients to manage risk. He has designed and delivered over 1600 highly interactive training days in more than 40 countries for the International Faculty of Finance, Goldman Sachs, Morgan Stanley, JP Morgan, HSBC, Deutsche Bank, Rabobank, BNP Paribas, Societe Generale, UBS, Credit Suisse, Barclays, The Bank of England, The Financial Times, The London Stock Exchange, The United Nations and many others. He advised banks and multinational corporations on the design and execution of their hedging, asset-liability and risk management strategies at HSBC’s International Treasury Management Group, where he also ran a currency swaps book. He traded a proprietary fixed-income book at Scotia Capital Markets and ran training courses for the traders and the salespeople. The International Foreign Exchange Dealers Association (ACI) commissioned him to write ‘Mastering Swaps Markets’, published by the Financial Times and the University of Shanghai. He has an MSc in International Banking and Finance, plays the clarinet in one of London’s orchestras, and is a keen golfer, with a handicap of 6. Alan is an advisor to the fintech, edtech, social media company INVSTR.


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Advanced Swaps by Alan McDougall

About the training

#risk   #swaps   #derivatives

This course allows you to apply your knowledge to real-life situations straight away via the use of practical software programmes that you will utilise to complete a number of tasks and exercises. The dissection and financial engineering of some structures will be undertaken which will help you unlock the “black box” behind the products.

Learning outcomes

Risks and Rewards

Learn how to calculate the risks and rewards of the swaps market

Interest Rate Derivatives

Ensure you apply and use interest rate derivatives effectively

Swap Products

Fully grasp all aspects of the non-generic and exotic swap products, terminology, pricing methodology, risk management and product applications

OIS mechanics and collateralisation

Understand OIS mechanics and collateralisation


  • Case study: calculating forward/forward prices and zero coupon rates

  • Portfolio Management

  • Case study: Asset swaps

  • Case study: ALM hedging simulation

  • Case study: amortising, accreting and roller-coaster swaps

  • Valuing interest rate swaps

  • Case study: Market dynamics leading to OIS discounting

  • Case study: Rationale for OIS discounting

  • Case study: Building the OIS curve

  • Case study: Different types of swap

  • Case study: Complex swaps

  • Case study: credit default swaps

  • Credit Exposures

  • Credit risk

  • CVA

  • CVA, DVA & Bank Earnings

  • EIB par par to NOK

  • Case study: hedging an equity portfolio

  • Case study: contract specifications

  • Case study: hedging duration gaps

  • Case study: hedging pitfalls

  • How Global Investors Turn Negative Japan Yields Into Big Returns

  • Interest rate options for ALCOs

  • JPMorgan’s $6.2bn lesson in organisational failings

  • Case study: multi-currency debt management

  • Case study: Nordic Export Credit’s currency swap

  • Case study: Portuguese train company can’t escape snowballs

  • Setting Var based limits

  • Case study: the rules of risk management

Main benefits

  • #Wide collection of the biggest experts
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  • #Fast and cheap
  • #Highest level of proficiency