Correlation Trading and Risk Management

London Financial Studies
4.4
9 reviews
  • Alberto's bits of knowledge from working on/exchanging relationship items made this course significant.
    ← | →
  • Important subject material conveyed positively by a capable coach. Culminate begin for any merchant needing to move into the multi-fundamental universe.
    ← | →
  • Nicely exhibited. Practical method for educating, a considerable measure of ground is canvassed in 2 days.
    ← | →

Short course

In London

£ 2,590 + VAT

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Description

  • Type

    Short course

  • Location

    London

  • Duration

    2 Days

This programme provides a sound understanding of the up to date practical realities of trading and risk managing correlation, especially equity and equity/forex.

The course will draw heavily from recent markets case studies, and the real practices used at large financial companies, highlighting the weaknesses and pitfalls where needed.

During the Excel based workshops delegates will have access to proprietary state of the art professional software for exotic and multi underlying pricing, thus gaining an understanding of multifactor pricing models and higher order exotic effects on risk exposures.

This course is also available remotely via LFS Live.

Facilities

Location

Start date

London
See map
34 Curlew Street, se12nd

Start date

On request

About this course

- Senior managers that need to understand risk
- Junior exotic traders
- Risk managers
- Auditors and product controllers
- Flow and proprietary traders that consider expanding their trading universe
- Regulators, quant analysts, structurers, sales

Working knowledge of financial markets including vanilla derivatives.
Calculus and statistics to at least first year university.

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Reviews

4.4
fantastic
  • Alberto's bits of knowledge from working on/exchanging relationship items made this course significant.
    ← | →
  • Important subject material conveyed positively by a capable coach. Culminate begin for any merchant needing to move into the multi-fundamental universe.
    ← | →
  • Nicely exhibited. Practical method for educating, a considerable measure of ground is canvassed in 2 days.
    ← | →
100%
4.4
fantastic

Course rating

Recommended

Centre rating

Anonymous

5.0
30/10/2016
What I would highlight: Alberto's bits of knowledge from working on/exchanging relationship items made this course significant.
What could be improved: N/A.
Would you recommend this course?: Yes

Anonymous

4.0
28/10/2016
What I would highlight: Important subject material conveyed positively by a capable coach. Culminate begin for any merchant needing to move into the multi-fundamental universe.
What could be improved: No negative aspects.
Would you recommend this course?: Yes

Anonymous

4.0
08/10/2016
What I would highlight: Nicely exhibited. Practical method for educating, a considerable measure of ground is canvassed in 2 days.
What could be improved: Nothing bad.
Would you recommend this course?: Yes

Anonymous

4.0
05/10/2016
What I would highlight: The course by teacher Cherubini is well worth taking. He does not just give you knowledge - rather he demonstrates to you best practices to consider the current issue and builds up your instinct. I firmly suggest his courses.
What could be improved: Everything OK.
Would you recommend this course?: Yes

Anonymous

5.0
03/10/2016
What I would highlight: I would not dither to suggest LFS as an organization of top quality money related markets instructional classes.
What could be improved: No negative aspects.
Would you recommend this course?: Yes

Anonymous

5.0
03/10/2016
What I would highlight: Phenomenal course and an educator with the immense useful exchanging intelligence in fascinating items.
What could be improved: Nothing bad.
Would you recommend this course?: Yes

Anonymous

4.0
09/09/2016
What I would highlight: The Correlation Trading and Risk Management course given by Alberto Cherubini is exceptionally suggested. It strikes the right harmony between scientific points of interest and pragmatic understanding.
What could be improved: Everything OK.
Would you recommend this course?: Yes

Anonymous

5.0
08/02/2016
What I would highlight: Alberto is an experienced expert in the equity exotics market and his experience and bits of knowledge are extremely active for a merchant or to comprehend different complexities of connection items in equity exotics space. An unquestionable requirement for anybody engaged in this field.
What could be improved: Everything was positive.
Would you recommend this course?: Yes

Anonymous

3.5
02/11/2015
What I would highlight: I should state that Alberto was a fabulous guide. His insight and polished methodology were enormous.
What could be improved: Nothing.
Would you recommend this course?: Yes
*All reviews collected by Emagister & iAgora have been verified

This centre's achievements

2016

All courses are up to date

The average rating is higher than 3.7

More than 50 reviews in the last 12 months

This centre has featured on Emagister for 16 years

Subjects

  • Correlation Trading
  • IT risk
  • Crossgammas
  • Risk
  • Trading
  • Misconceptions
  • Correlation skew
  • Equity
  • Statistics
  • Correlation markets
  • Convexities
  • Risk Management
  • Proxy hedging
  • Regulators
  • Financial markets

Teachers and trainers (1)

Alberto Cherubini

Alberto Cherubini

Lecturer

Dr Alberto Cherubini was Head of Equity Derivatives Exotic Trading at Citigroup and as such he is among the handful of people across the globe with the unique experience of running a wholesale structured book during the severe market crisis of 2008. Dr Cherubini is currently the principal consultant at EQ Finance, which he started in 2009, and teaches equity derivatives on the Masters in Mathematical Finance at the University of Bologna.

Course programme

Day One

Refresh Foundations
  • From single underlying to multi underlying
  • Non normality: "good" and "bad"
  • Jumps and Feedback loops
  • From market prices to probability distributions
  • Joint and marginal distribution concepts
Correlation vs. covariance, implied vs. realized
  • Unstable statistics
  • Non normal behaviour and Feedback loops
  • Other dispersion statistics
  • Examples and case studies
Workshop 1: calculating and analyzing historical statistics

Key products: Baskets and OBBOs
  • Crossgammas and thetas
  • Single Factor Modelling
  • Multi Factor Modelling
  • Implied Correlation
Workshop 2: single factor pricing approximation vs. multi factor Montecarlo

The crossgamma conundrum
  • The equations
  • Common misconceptions and their reasons
  • Typical portfolio position
Workshop 3: short theta, short crossgamma?

Workshop 4: OBBOs in depth

Multi factor pricing with local volatilities and Gaussian copulas

Workshop 5: build a Gaussian copula, compare to local vol multi factor pricing

Day Two

Dispersion trading
  • Correlation skew
  • Types of dispersion strategies
  • Dynamics of convex risks
  • Approximate formulas and their shortcomings
  • Current markets
  • Dispersion as a hedge
Workshop 6: vega dynamics of dispersion strategies, a simple correlation skew model

Key products: WO, BO and outperformance options
  • Cross gammas and corr vegas
  • Skew exposures
  • Risk dynamics and convexities
  • Multi Factor Modelling
  • Approximations
Workshop 7: risk dynamics and skew exposures of WO, BO, and spread options

Key products: Realized correlation swaps
  • Analysis
  • Current markets and positions
Challenges in marking correlation and measuring its risk
  • Different measures and their shortcomings
  • Using lambda
  • Marking and reserving issues
  • Stress scenarios
Workshop 8: impact of marking policies on Greeks

Correlation markets
  • History and current situation
  • Retail structured flows
  • Example and discussions of highly exotic payoffs
  • Institutional and Hedge Fund flows
  • IDB Broker OTC markets
  • Structural positions: typical exposures, impact on other markets
  • Term structure and skew pressures
Running correlation risks
  • Crossgamma and correlation Vegas behaviour of portfolios
  • Dynamic hedging: issues, thetas, non normality, correlation skew
  • Convexities, higher order and path dependence
  • Proxy hedging, hidden correlation risk
  • Pitfalls and horror stories
Correlation skew modelling

A survey of existing approaches

The quantos and others: equity/forex correlation
  • Simple yet not so simple
  • Market impact and examples
  • A few words on fixed income and hybrids

See related categories

Correlation Trading and Risk Management

£ 2,590 + VAT

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