Correlation Trading and Risk Management
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Alberto's bits of knowledge from working on/exchanging relationship items made this course significant.
← | →
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Important subject material conveyed positively by a capable coach. Culminate begin for any merchant needing to move into the multi-fundamental universe.
← | →
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Nicely exhibited. Practical method for educating, a considerable measure of ground is canvassed in 2 days.
← | →
Short course
In London
Description
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Type
Short course
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Location
London
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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
Start date
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.
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.
← | →
Course rating
Recommended
Centre rating
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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 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
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
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
- Unstable statistics
- Non normal behaviour and Feedback loops
- Other dispersion statistics
- Examples and case studies
Key products: Baskets and OBBOs
- Crossgammas and thetas
- Single Factor Modelling
- Multi Factor Modelling
- Implied Correlation
The crossgamma conundrum
- The equations
- Common misconceptions and their reasons
- Typical portfolio position
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
Key products: WO, BO and outperformance options
- Cross gammas and corr vegas
- Skew exposures
- Risk dynamics and convexities
- Multi Factor Modelling
- Approximations
Key products: Realized correlation swaps
- Analysis
- Current markets and positions
- Different measures and their shortcomings
- Using lambda
- Marking and reserving issues
- Stress scenarios
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
- 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
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
Correlation Trading and Risk Management