Fundamentals of Swaps
by Alan McDougallLanguages: English
Price (from): €3,300 / day
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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Fundamentals of Swaps by Alan McDougall
About the training
This training programme will take you step-by-step through the fundamentals of pricing and trading generic and simple non-generic interest rate and currency swaps. It will explore and apply the different strategies, techniques and methods commonly employed by the industry. An abuncance of exercises and case studies ensure that the course focuses on the practical applications of swaps. The course is aimed at an international audience and is specifically designed for professionals wanting to increase their practical understanding of pricing, trading and hedging techniques. You will benefit by developing a robust set of new skills that you will be able to implement and put into practice as soon as you return to your desk.
Learning outcomes
Swaps Market
The development of the swaps market, key players and their motivation
Swaps
Interest rate swaps, currency swaps and simple non-generic swaps
Applications
Uses and applications of swaps
Risk Management
Swap portfolio risk management
Program
Origins of the Swap Market
Case Study - Rabobank & Deutsche Bank
Types of Swap Transaction
Case Study - The dynamics of total return swaps, Fidelity and JP Morgan
Applications of Swaps
Case Study - Swap driven bond issues, IBRD
Case Study - Benchmarking, FMC Corporation
FRAs, Futures and Interest Rate Swaps
Case Study - Interest rate hedging with FRAs, futures and swaps
Understanding Basic Swap Mathematics
Case Study - Creating a zero coupon curve and zero coupon discount factors
Swap Valuation
Exercise - Marking swaps to market
Case Study - Valuing an interest rate swap in Excel
Case Study - Swaps as a portfolio management tool
Case Study - Using swaps in asset and liability management
Interest Rate Options
Case Study - Vodafone: interest rate hedging
A brief overview of hedge effectiveness
Case Study - IAS 39
Documentation
Case Study - Wells Fargo and MWRA
Swap Discounting & Pricing Using the OIS Curve
Case Study - Discounting swaps using the OIS curve
Currency Swaps
Case Study - Currency swaps and forward foreign exchange
Case Study - Cross currency swap driven bond issue
Case Study - Cross currency basis swaps
Structuring Swaps
Case Study - Swap structures
Calculating Credit Exposures
Case Study - Calculating credit exposures
Regulation
Case Study - The impact of Basel III
Exotic swaps
Case Study - CMS swaps and options
Swap Portfolio Risk Management
Case Study - Managing a swap portfolio
Main benefits
- #Wide collection of the biggest experts
- #Filters for all kinds of needs
- #User friendly platform
- #Fast and cheap
- #Highest level of proficiency