LFS Capital Markets Intensive Programme
Short course
In London
Description
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Type
Short course
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Location
London
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Duration
10 Days
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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
Start date
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.
Reviews
This centre's achievements
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
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
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
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
- Interest calculations, day count conventions
- The effect of payment frequency and compounding
- Time value of money, PV and FV
- Key money market instruments
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
- Mechanics and settlement of a FRA
- Interest rate futures – settlement and margining
- Where is the fair forward rate?
Bonds
- Primary markets and new issues
- Secondary market trading
- Accrued interest, clean and dirty price
- YTM defined and other yield measures
- Repos and funding
- DV01, duration and risk
- Quantifying risk at the portfolio level
- Convexity – can it be monetized?
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
Foreign Exchange
- Macro economic drivers of FX rates
- Market quotation conventions
- FX execution and settlement
- Cross rates
- FX forwards – quotation in terms of forward points
- Where is the fair forward?
- FX swaps
- Applications of FX swaps
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
Equity Valuation I
- The different approaches to valuation
- Enterprise vs equity – the bridge
- Core accounting principles
- Multiples and key ratios
- Dividend growth models
- Discounted cash flow valuation and the WACC
- Estimating the cost of equity – intro to CAPM
- Estimating the horizon value
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
Commodity Markets
- The key commodity asset classes
- Commodity futures and swaps
- Understanding the forward curve – contango and backwardation
- The role of ‘convenience yield’
- Principles of asset allocation
- Measuring portfolio return and variance
- The Sharpe ratio
- The ‘Efficient Frontier’
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
- New issue (funding) swaps
- Asset swaps
- Duration overlays
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
- Mechanics and structure
- Understanding the role of the CRX basis swap spread
- Customer applications
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
- Common strategies and combinations
- Spreads, straddles and strangles
- Protective puts, collars and buy writes
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
- The delta hedge
- Gamma as the consequence of rebalancing the delta hedge and its fundamental importance
- Volatility risk, the vol surface, smile and skew
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
- Using swaptions to hedge interest rate risk in funding
- Hedging liability side costs by buying caps
- Hedging the risk on a pensions portfolio
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
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
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 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
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
The New Regulatory Environment
- Lessons learnt from the financial crisis
- Dodd Frank and Volcker
- EMIR and MIFID
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
- Multiple choice questionnaire
LFS Capital Markets Intensive Programme