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Provided by: FitchTraining Complex Derivative Transactions A Credit MasterclassAccounting and Finance |
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Training
Provided by FitchTraining
A one-day advanced workshop applying a structured approach to the analysis of counterparty risk in complex derivative transactions. The workshop is designed for experienced credit analysts, credit approvers, auditors, and regulators who have an understanding of the credit risk in derivative products but need practice in the application of analytical tools to complex transactions.
Related Awards, Degrees or Certifications: Earn CPD credits
We are an accredited training provider with a number of institutions including:
ACCA
NASBA
Securi
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Complex Derivative Transactions A Credit Masterclass
Course Objectives
The workshop is designed to teach participants how to assess the counterparty risk in complex derivative transactions. This will be done predominantly using a selection of real transactions which the participants will assess in small groups. The groups will make presentations on their findings and these will be discussed and assessed by all participants under the guidance of the trainer.
Specifically participants will be equipped to:
Assess the overall purpose for entering into a complex transaction
Draw diagrams to show the cash flows during the transaction
Assess what movements in underlying variables create credit risk
Estimate the amount and timing of the resultant credit risks.
Target Audience
The workshop is targeted at experienced credit analysts, counterparty analysts, and credit approvers who are comfortable with assessing plain vanilla derivative transactions but need further knowledge of how to approach complex transactions. The course is also suitable for those who design systems to record derivative credit exposures, for auditors of complex derivative transactions, and for regulators responsible for derivative transactions.
The majority of Fitch Training programmes are offered at an intermediate and advanced level. There are no specific prerequisites for attending our programmes. Those who have attended the Counterparty Credit Risk in Derivatives course will have a good basic knowledge of derivative credit risk and will be well qualified for this course. Those who have not attended this course should check its content on this website and be sure that their knowledge is at the level of the Counterparty Credit Risk in Derivatives course.
Content
ANALYTIC FRAMEWORK
Structured approach to transaction analysis
Purpose of transaction
Diagram of transaction
Cash flow of transaction
Risk drivers
Risk assessment and quantification
TRANSACTIONS
Risk assessment and estimation of pre-settlement risk and other credit risks for approximately twelve different transactions
Transactions to cover:
Interest rate risk, including swaps, options, and swaptions
Foreign exchange risk
Equity risk, including options and total return swaps
Credit derivative risk
One or two transactions based on more exotic underlying instruments (for example, a variance swap).
Risk assessment to involve assessing different types of credit risk:
Pre-settlement risk/ current MTM
Settlement risk
Payment mismatch risk
Premium payment risk
Lending risk.
The workshop is designed to teach participants how to assess the counterparty risk in complex derivative transactions. This will be done predominantly using a selection of real transactions which the participants will assess in small groups. The groups will make presentations on their findings and these will be discussed and assessed by all participants under the guidance of the trainer.
Specifically participants will be equipped to:
Assess the overall purpose for entering into a complex transaction
Draw diagrams to show the cash flows during the transaction
Assess what movements in underlying variables create credit risk
Estimate the amount and timing of the resultant credit risks.
Target Audience
The workshop is targeted at experienced credit analysts, counterparty analysts, and credit approvers who are comfortable with assessing plain vanilla derivative transactions but need further knowledge of how to approach complex transactions. The course is also suitable for those who design systems to record derivative credit exposures, for auditors of complex derivative transactions, and for regulators responsible for derivative transactions.
The majority of Fitch Training programmes are offered at an intermediate and advanced level. There are no specific prerequisites for attending our programmes. Those who have attended the Counterparty Credit Risk in Derivatives course will have a good basic knowledge of derivative credit risk and will be well qualified for this course. Those who have not attended this course should check its content on this website and be sure that their knowledge is at the level of the Counterparty Credit Risk in Derivatives course.
Content
ANALYTIC FRAMEWORK
Structured approach to transaction analysis
Purpose of transaction
Diagram of transaction
Cash flow of transaction
Risk drivers
Risk assessment and quantification
TRANSACTIONS
Risk assessment and estimation of pre-settlement risk and other credit risks for approximately twelve different transactions
Transactions to cover:
Interest rate risk, including swaps, options, and swaptions
Foreign exchange risk
Equity risk, including options and total return swaps
Credit derivative risk
One or two transactions based on more exotic underlying instruments (for example, a variance swap).
Risk assessment to involve assessing different types of credit risk:
Pre-settlement risk/ current MTM
Settlement risk
Payment mismatch risk
Premium payment risk
Lending risk.
About The Training Provider: FitchTraining
FitchTraining - Fitch Training is a specialist training firm focused on the provision of credit and corporate finance training. Courses are offered in three areas: financial institutions, corporate credit and securitization. Fitch Training is part of Fitch Solutions, a division of the Fitch Group. We also work in partnership with Fitch Solutions to provide quantitative training.
Fitch Training operates...
