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MARKET RISK - Front office MASTERCLASS 

1-5 July, 2018

Cairo, Egypt  

Causal Capital is bringing its Quintessential Market Risk - Front Office Masterclass to Egypt based on the overwhelming number of requests from the banking sector. 

This is a sponsored event where only 5 banks will be able to take part and our sponsorship model is described at the bottom of the page. 

OVERVIEW

This is a structured five day masterclass on front office market risk management taking in all aspects of pricing and risk capital models with a practitioner's mindset.

This program is worth 35 CPE credits by field of study:

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Finance:

Statistics:

Business Management & Org: 

Mathematics:

Regulatory Ethics:

10 CPE credits

  8 CPE credits

  4 CPE credits

  8 CPE credits

  5 CPE credits

AGENDA

SESSION 1 

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  • Introduction to IR and FX derivatives and explain product - contractual terms and payoffs

  • Building IR yield curves from cash, FRAs/Futures, Swaps and Xccy basis Swaps

  • Valuation and greeks of FRAs/swaps/Bond Futures, FX forwards, Xccy basis swaps and practical case study

  • Intro to vanilla FX and IR options and explain product - contractual terms and payoffs

SESSION 2

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  • Valuation and greek of FX and IR options and practical case study

  • Impact of smile, Building FX and IR volatility surfaces,  Introduction to smile quotes (FX and IR) and smile interpolation models and practical case study

  • Intro to popular 1st generation FX exotics and Bermudan Callables and explain product - contractual terms and payoffs

  • Standard market models used in FX and IR and understanding parameters and calibration with practical case study

SESSION 4

 

  • Impact of Wrong Way Risk - Correlation between the counterparty and underlying to valuation and practical case study

  • Market Risk Capital models - IMA based approach for Basel 2.5 for IR and FX portfolios and explaining VaR and SVaR, RNIV

  • Calculating Market Risk Capital IMA under 2.5 for above portfolios and practical case study

  • CVA capital models - IMA approach for Basel 3 and explaining CVA VaR

SESSION 3

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  • Valuation and greeks of structured products and practical case study

  • Explanation of XVA - CVA, DVA, FVA and ColVA and understanding why the adjustments are made

  • Introduction to CDS and explain product - contractual terms and payoffs

  • Building credit curves from liquid CDS quotes and interpolation methodology and practical case study

  • Valuation and greeks of derivatives with XVA IRS, CCS, and practical case study

SESSION 5

 

  • Calculating CVA capital IMA under Basle 3 for IR and FX portfolios and practical case study

  • Impact of FRTB to Market Risk Capital -IMA based approach and explaining Expected Shortfall, time-dependent risk factors, NMRF

  • Calculating FTRB capital IMA for FX and IR portfolios and practical case study

  • Interpreting results and potential changes and practical case study

  • IRRBB for IMA and defining scenarios and capital requirements

Models and Practical Exercises

 

The program will explore many different models and calculations in market risk. These models aren’t just explained from an academic perspective but also demonstrated in various tools such as Numerix. The models and the software tool are passed to attendees in fully working format.

INDUSTRY EXPERT

Mr. Rahul Sil

 Mr. Rahul Sil is a quantitative risk manager who has risk managed linear and non-linear products across both Markets and Treasury functions. He has a proven track record in identifying, quantifying monitoring and mitigating complex Market and Counterparty Credit risks. 

 Rahul has a deep understanding of Market and Liquidity risks in Asia, involvement in stress testing and also developing hedging strategies for FI, FX/FX options, Prime Services, Equity   Derivatives, Precious Metals and Group Treasury businesses for large and small Asia companies. 

 Detailed experience in financial and structured trade modeling Deep understanding of   trading environment front to back • Global leader in Market Risk for Exotic & Non-Linear   Products • Extensive exposure to emerging markets • Build models and risk framework   from the ground up • Front Office Risk Management Experience • Trading Policy   Capabilities 

REQUEST MORE INFORMATION 

CHAT WITH YOUR ADVISOR:

MARIJA ILIEVSKA                     

Professional Development Advisor

Marija.i@causalcapital.org

+44 20 7097 1580

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SPONSORSHIP MODEL: 

*Only 5 banks are invited to sponsor this event. 

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The sponsorship fee is US$7950

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What you will get as a sponsor: 

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  • Participate with up to 5 delegates 

  • LSBF Certification for each delegate (optional add-on)

  • Certificate with 35 NASBA CPE points for each delegate

  • Option to select and add your preferred topics to the agenda 

  • Post-Workshop support from the Industry Expert 

  • Lifetime access to our Market Risk Learning Portal for every delegate 

  • Organizational Certification for Market Risk Best Practice 

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