Languages: English
Price (from): €3,300 / day
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.
About the training
Participants on the course will work in groups on the exercises and case studies. Please bring a laptop with Excel for the case studies and exercises. The first day of the program will provide you with a complete overview of bond pricing: you will learn how to approximate both prices and yields at a glance, before exploring the bond maths functionality in Excel.
How the term-structure of rates influences all financial instruments
How to estimate bond prices and yields at a glance
How to price and value bonds in Excel
How static and dynamic hedging works
How the bond markets work
Case study: participants will examine a new international bond issue from the perspectives of the issuer, the arrangers and investors
Pricing principles
Bonds and fixed income mechanics
Case study: Archer Daniel Midland Company 6.75% December 2027
Practical bond pricing techniques
Excel exercises: Haliburton 6.875% January 2028
Yield curves
Exercise: straight line interpolations of the US Treasury curve
The use of benchmarks in bond pricing
Case study: benchmarking corporate bonds to an interpolated curve
Case study: benchmarking Apple and Verizon
Investment skills
Group exercise: 7 immutable laws of investing & 9 rules of risk management
An introduction to curve trading
Group exercise: curve flattening trades and curve steepening trades
The bond markets today
Case study: Republic of Turkey 4.875% October 2026
Pricing floating rate notes
Case Study: FRN pricing - Pernod Ricard
Bond portfolio management
Case study: dynamically hedging a portfolio
Getting to grips with repos and reverses
Case study: the repo market
Contingent convertible capital instruments
Case study: understanding the CoCo market
Using duration as a hedging or trading technique
Case study: using duration to calculate hedge ratios; curve trading
Managing interest rate risk
Exercise: using duration as a hedging tool
Case study: bond pricing in Excel
Interest Rate Derivatives
Use Strips as a Benchmark for Pricing non-standard Bonds
Term Structure of Interest Rates
Case Study: Working out the term structure of Interest Rates
Case Study: Debt Origination
Liability Swaps and the Bond Markets
Asset-Backed Securities
Asset Swaps and Bond Markets
Swap Pricing
Swap Valuation
Case Study: Asset Swap Pricing and Valuation
Credit Curves, Benchmarking and Corporate Bond Spreades