LFS Capital Markets Intensive Programme

Short course

In London

£ 4,944 + VAT

Description

  • Type

    Short course

  • Location

    London

  • Duration

    10 Days

  • Start date

    Different dates available

Go beyond the basics and gain sound knowledge of capital markets. This programme incorporates the macro economic environment and essential foundations of the market such as the mechanics of securities and derivatives in Fixed Income, Equity, Credit, Commodities and FX. Risk management and regulation complete the programme, offering an all round view of capital markets that will equip professionals to succeed in their roles in banking and asset management. The programme also benefits professionals working in ancillary roles and in finance or treasury departments in publicly listed companies.
The programme focuses on intensive live classes with practical workshops and industry renowned guest speakers. Online resources are available for 12 months after the course and include video content presented by market experts, covering key topics such as new regulations, algorithmic trading, blockchains, data mining in finance, etc.

Facilities

Location

Start date

London
See map
34 Curlew Street, se12nd

Start date

Different dates availableEnrolment now open

About this course

Understand capital markets, its participants and products
Distinguish between different asset classes and markets
Learn basic concepts of valuation and modelling
Gain a general understanding of derivatives and risk management
Acquire knowledge of financial regulation principles

Professionals entering the banking and asset management industry
Professionals from other areas working in financial institutions (e.g. lawyers, marketers, IT)
Finance and treasury departments in publicly listed companies

No prior knowledge is required for this course.

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Reviews

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 15 years

Subjects

  • IT risk
  • Risk
  • Swaps
  • Equity
  • Market
  • Credit
  • Options
  • Trading
  • Mechanics
  • Computing
  • Derivatives
  • Risk Management
  • Commodities
  • Finance
  • Financial
  • Financial Training
  • Primary
  • Fixed Income
  • Financial Maths
  • Capital Markets
  • Macro Economics
  • Money Market Calculations
  • Primary markets
  • Secondary Market
  • Foreign Exchange
  • FX swaps
  • Equity Valuation
  • Commodity Markets

Teachers and trainers (1)

Richard Fedrick

Richard Fedrick

Teacher

Richard Fedrick delivers training programmes globally in all areas of finance with emphasis on interest rates and FX, derivatives in general and exotics in particular, structured products and risk management. He started his career in 1988 in the Derivatives Product Group at Morgan Stanley, which he joined after three years of post-graduate research in Theoretical Physics. In 1993 Richard joined General Re Financial Products, a AAA-rated derivatives boutique that rapidly became established as one of the world’s leading derivatives trading operations.

Course programme

Day One

Capital Markets and Financial Maths
Macro Economics and Markets
  • What drives market prices?
  • Central bank policy and official interest rates
  • How interest rate policy affects equities
  • The impact of economic data releases
  • Geo political unrest and the prices of bonds, oil and gold
  • QE, how it works and what it is designed to do
  • Is a world with negative rates a sustainable proposition?
  • Inflation prospects and the shape of the yield curve
Workshop: Understanding the recent gyrations in oil and gold prices

Structure of the Capital Markets
  • Market structure and participants
  • Key instruments and asset classes
  • Primary and secondary markets
  • Cash markets vs derivatives
  • Exchanges and OTC markets, order driven vs quote driven markets
Essential Financial Maths and Money Market Calculations
  • Interest calculations, day count conventions
  • The effect of payment frequency and compounding
  • Time value of money, PV and FV
  • Key money market instruments
Workshop: Understanding money market instruments and their returns

Day Two

Fixed Income
Short term Interest Rates
  • Interbank rates (LIBOR)
  • Why the controversy? A review of the ‘LIBOR scandal’
  • The rise of overnight rates
  • Tenor basis and liquidity premiums
Interest Rate Forwards and Futures
  • Mechanics and settlement of a FRA
  • Interest rate futures – settlement and margining
  • Where is the fair forward rate?
Workshop: Hedging interest rate risk

Bonds
  • Primary markets and new issues
  • Secondary market trading
  • Accrued interest, clean and dirty price
  • YTM defined and other yield measures
  • Repos and funding
Bond Risk Management and Trading
  • DV01, duration and risk
  • Quantifying risk at the portfolio level
  • Convexity – can it be monetized?
Workshop: Setting up, funding and analyzing the P&L of a delta neutral 2x10 curve trade

Day Three

Credit Markets and Foreign Exchange
Credit Markets
  • Credit spreads as compensation for default risk
  • The various spreads quoted by the market
  • Spread risk – spread duration and CS01
  • Seniority and the priority of claims
  • Credit ratings
Workshop: Quantifying spread risk at the portfolio level

Foreign Exchange
  • Macro economic drivers of FX rates
  • Market quotation conventions
  • FX execution and settlement
  • Cross rates
FX Swaps and NDFs
  • FX forwards – quotation in terms of forward points
  • Where is the fair forward?
  • FX swaps
  • Applications of FX swaps
Workshop: Using FX swaps to optimize funding opportunities

Day Four

Equity Markets and Corporate Valuation
Equity Capital Markets
  • Primary markets and IPOs
  • Rights issues and follow on offerings
  • Trading platforms and execution
  • Short selling and the stock borrow
Workshop: Analyzing a recent rights issue by a bank looking to bolster capital

Equity Valuation I
  • The different approaches to valuation
  • Enterprise vs equity – the bridge
  • Core accounting principles
  • Multiples and key ratios
  • Dividend growth models
Equity Valuation II
  • Discounted cash flow valuation and the WACC
  • Estimating the cost of equity – intro to CAPM
  • Estimating the horizon value
Workshop: Building a DCF model to value a company

Day Five

Equity Delta 1, Commodities and Asset Allocation
Equity Delta 1
  • Equity forwards and futures
  • The fair forward and the basis
  • Index futures, margining and settlement
  • Hedging with futures, adjusting for Beta
Workshops: Hedging equity exposure with futures

Commodity Markets
  • The key commodity asset classes
  • Commodity futures and swaps
  • Understanding the forward curve – contango and backwardation
  • The role of ‘convenience yield’
Asset Allocation and Portfolio Construction
  • Principles of asset allocation
  • Measuring portfolio return and variance
  • The Sharpe ratio
  • The ‘Efficient Frontier’
Workshop: Using the SOLVER function in Excel to derive the optimal construction (efficient frontier) for a mixed portfolio

Guest speaker: Prof Helyette Geman

Day Six

Interest Rate Swaps
Swap Fundamentals
  • Mechanics and quotation
  • What swap spreads tell us
  • Intuitive pricing and risk, PV01
  • Unwinds, assignments and close outs
How Customers Use Swaps
  • New issue (funding) swaps
  • Asset swaps
  • Duration overlays
Workshops: (1) Structuring a new issue swap; (2) Pricing an asset swap

Swaps Pricing and Risk
  • From par curves to discount curves, zeros and forwards
  • The choice of discount curve – why OIS?
  • Bootstrapping the curve
  • DV01 and bucket deltas
  • Tenor basis spreads and what they tell us
Cross Currency Swaps
  • Mechanics and structure
  • Understanding the role of the CRX basis swap spread
  • Customer applications
Workshop: Pricing a cross currency asset swap

Day Seven

Options
Options Fundamentals
  • The key payoff diagrams
  • Cash vs physical settlement
  • Put call parity, intrinsic value vs time value
  • Intuitive understanding of what drives the premium
How Customers Use Options
  • Common strategies and combinations
  • Spreads, straddles and strangles
  • Protective puts, collars and buy writes
Workshops: (1) Constructing common option combos; (2) Put call parity and arbitrage opportunities

Option Pricing
  • The principles behind the binomial approach
  • The Black Scholes formula
  • The key role of implied volatility, smile and skew defined
  • Monte Carlo approaches
Option Trading and Risk Management
  • The delta hedge
  • Gamma as the consequence of rebalancing the delta hedge and its fundamental importance
  • Volatility risk, the vol surface, smile and skew
Workshop: Exploring the delta hedge of an option position

Guest speaker: Dr Peter Leoni

Day Eight

Interest Rate Options and CDS
Interest Rate Options
  • Caps and floors
  • Swaptions and bermudans
  • Physical vs cash settlement
  • Delta hedging caps / floors and swaptions
How Customers Use IROs
  • Using swaptions to hedge interest rate risk in funding
  • Hedging liability side costs by buying caps
  • Hedging the risk on a pensions portfolio
Workshop: Corporate liability side hedging using caps / floors and swaptions

Credit Derivatives
  • Mechanics of a single name CDS contract
  • Spread, default intensity and recovery – the credit triangle
  • What constitutes a default event
  • Standard contracts
  • Pricing and risk
  • CDS indices
Workshop: Building a CDS pricing spreadsheet from first principles

Hedging Credit Risk
  • Hedging bond / loan positions with CDS contracts, CS01 defined
  • What are we hedging? Jump to default risk vs spread risk
  • The CDS cash basis
Day Nine

Counterparty Risk and the Regulatory Environment
Counterparty Risk, Collateral and Clearing
  • The key metrics of exposure: EAD / EE / EPE / PFE / EL
  • Credit mitigation techniques – break clauses and recouponing
  • Collateral, netting and the importance of the CSA
  • The central clearing model
CVA and other XVA
  • CVA as a compensation for expected loss
  • Computing CVA for some simple positions
  • Quoting CVA as a running charge for swaps
  • Briefly on DVA, FVA and other XVA
Workshop: Computing the expected loss (CVA) on a simple interest rate swap

Basel III, Capital and Solvency
  • The key pillars of the Basel approach
  • RWAs and capital
  • Computing RWAs for market risk and credit risk
  • Solvency and liquidity requirements
Workshop: Computing RWAs

The New Regulatory Environment
  • Lessons learnt from the financial crisis
  • Dodd Frank and Volcker
  • EMIR and MIFID
Guest speaker: Dr Jon Gregory

Day Ten

Review and Assessment
Review Topics
  • Money markets and debt
  • Equities, valuation and equity delta 1
  • FX and commodities
  • IRD and swaps
  • Options and structured products
  • Credit, counterparty risk and CVA
Final Assessment
  • Multiple choice questionnaire

LFS Capital Markets Intensive Programme

£ 4,944 + VAT