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New York Institute of Finance

Advanced Derivatives Applications for Asset Managers

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About the course

Develop the ability to research which derivatives strategies best fit your management style - covering all aspects of strategy development and position follow up.

CURRICULUM

Day 1

MODULE 1: ASSET CLASS: EQUITY ISSUERS AND BUYERS

  • Decision making process: Equity & Debt
  • Unleveraged & Leveraged (Buyers of Assets)
  • Capitalization (Small Cap, Mid Cap, Large Cap)
  • Equity Valuation (Fundamental Analysis)
  • Absolute Valuation: Discounted Cash Flows
  • Comparative Analysis: Multiples
  • Equity Trading Points (Technical Analysis)
  • Trend Following Indicators
  • Entry & Exit Indicators
  • Risk Management Points
  • Measuring Performance - Benchmarks
  • Ways Active Managers Beat Benchmarks
  • Leveraged Equity Funds

MODULE 2: ASSET CLASS: INTEREST RATE ISSUERS & INVESTORS

  • Governments & Corporations (Issuers)
  • Decision Making Process: Maturity
  • Unleveraged & Leveraged Buyers of Assets
  • Investment Grade Corporate
  • Cross Over Corporate Credit Rating
  • High Yield Corporate
  • Credit Ratings & Transitions
  • Overview of Bond Pricing
  • Calculating the “credit risky” Bond Spread
  • Measuring Performance – Bond Indices

MODULE 3: ASSET CLASS: COMMODITIES

  • Energy
  • Metals (precious & industrial)

MODULE 4: ASSET CLASS: OTHER ASSETS

  • Non-correlated Asset Classes (i.e., Volatility)
  • Exchange Traded Funds & ETN's

Day 2

MODULE 1: DERIVATIVE TOOLBOX: EQUITIES DERIVATIVE PRODUCTS

  • Equity Swaps
  • Total Return Swaps
  • Replication
  • Equity Index-linked ETF's
  • Importance of Liquidity
  • ETF vs Futures
  • Tracking Error & Volatility Drag
  • Leveraged ETF's

MODULE 2: DERIVATIVE TOOLBOX: INTEREST RATE & CREDIT DEFAULT SWAPS

  • Terms & Conditions
  • Market & quoting conventions
  • Market Participants & Applications
  • Hedging rate risk
  • Creating synthetic assets
  • Speculating on Interest Rates
  • Speculating on Credit Spreads
  • Trading 'basis': Underlying bond versus CDS

Day 3

MODULE 1: DERIVATIVE TOOLBOX: FOREIGN ECHANGE, SPOT & FORWARDS

  • Currency Pairs
  • Quoting Convention & Trade Settlement
  • Overview of Market Participants
  • Overview of Uses & Applications

MODULE 2: DERIVATIVE TOOLBOX: CROSS CURRENCY SWAPS

  • Terms & Conditions
  • Market & Quoting Conventions
  • The Basic Swap
  • The Lynchpin in the Cross Currency Swap
  • Basis Swap: Contract Terms & Conditions
  • Market Participants & Applications
  • Hedging Rate Risk
  • Creating Synthetic Assets
  • Speculating on Rates in other countries
  • Speculating on other countries Credit Spreads
  • Overview of CDS Pricing
  • CDS Pricing using Cash Flow Diagram

MODULE 3: DERIVATIVE TOOLBOX: OPTIONS

  • Terms & Conditions
  • Equity Options
  • Interest Rate Options
  • Trading venues & margin
  • Market Participants & Applications
  • How Each Market Participant Uses Options
  • Overview of Options Pricing
  • Probability & Volatility
  • Risk Management- The Greeks

Day 4

MODULE 1: DERIVATIVE TOOLBOX: DEFINING STRATEGY & RISK MANAGEMENT

  • Dodd Frank Title VII
  • Bilateral Contracts vs. Cleared Contracts
  • Documentation
  • Initial Margin
  • Collateral Management
  • Eligible Collateral
  • Haircut Calculation
  • Credit Valuation Adjustment (CVA)
  • Calculation of Counterparty Risk
  • Single Asset & Multi-Asset Managers
  • Defining appropriate strategies
  • Evaluating Risk
  • Leveraged & Unleveraged Asset Managers
  • Defining appropriate derivative strategies
  • Evaluating Risk

Day 5

MODULE 1: DERIVATIVES TOOLBOX

  • Conclusion

WHAT YOU'LL LEARN

UTILIZE PRICING STRATEGIES IN ORDER TO DEVELOP A PLAN FOR IMPLEMENTATION INTO THE CURRENT MANAGEMENT STYLE

  • Define terms & market convention for interest rate swaps
  • Price & reprise interest rate swaps
  • Define terms & market conventions for credit default swaps
  • Price & reprise a Credit Default Swap
  • Define the derivative strategies most applicable to their style of asset management
  • Develop a game plan for implementing derivative strategies in their business

PREREQUISITES

  • More than 2 years financial markets experience and be versed in all topics covered in Derivative Products I

Who should attend

  • Asset managers
  • mutual fund/pension fund managers
  • traders
  • capital markets salespeople
  • portfolio managers and hedge funds

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