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- III. Specialist Programmes
- Derivative Credit Risk - Analysis and Management
Derivative Credit Risk - Analysis and Management
Objectives
A financial institution deals in many products with many counterparties. As the Lehman bankruptcy showed, monitoring and managing counterparty credit risk is essential to the survival of the firm. In this day derivatives trading can often create larger exposures for large financial institutions than cash instruments given the relative volume being traded. The course is designed to provide an overview of the principles of how to calculate, assess and manage derivative credit risk and will focus on interest rate swaps and options.
Target Audience
This course is valuable for anyone responsible for managing or overseeing derivatives products and counterparty risk. It is equally valuable to the buy side, sell side or any other participant active in these products. The course is suitable for anyone with an understanding of the fundamental concepts of finance, fixed income and an understanding of the basic derivative products – this knowledge will be assumed and there will not be any basic review of these products.
Length and Structure of the Course
The course consists of two days of lectures and case studies. Each day typically consists of four 90 minute session with coffee breaks in the morning and afternoon and a lunch break in the middle. There is no exam for this course but candidates will get a certificate of attendance.
Course Tutor
Neil Schofield
Neil is a visiting fellow at the University of Reading and is a freelance training consultant. From 2001 to 2008, he was global head of financial markets training at Barclays Capital in London. He was responsible for the design and delivery of a large number of seminars in a variety of different asset classes to many different audiences. Previous to that he was a director at Chisholm Roth training in London and has also held positions at Chase Manhattan Bank as well as Security Pacific Hoare Govett (now trading as Bank of America). Neil has over 20 years of experience in financial markets. In 2008, he published his first book “Commodity Derivatives” and his second text “Trading the Fixed Income, Inflation and Credit Markets” was published in 2011.
He is currently co-authoring a book on Inflation entitled “Trading Inflation: Markets, instruments and strategies”, which is due for publication in 2013.
A financial institution deals in many products with many counterparties. As the Lehman bankruptcy showed, monitoring and managing counterparty credit risk is essential to the survival of the firm. In this day derivatives trading can often create larger exposures for large financial institutions than cash instruments given the relative volume being traded. The course is designed to provide an overview of the principles of how to calculate, assess and manage derivative credit risk and will focus on interest rate swaps and options.
Target Audience
This course is valuable for anyone responsible for managing or overseeing derivatives products and counterparty risk. It is equally valuable to the buy side, sell side or any other participant active in these products. The course is suitable for anyone with an understanding of the fundamental concepts of finance, fixed income and an understanding of the basic derivative products – this knowledge will be assumed and there will not be any basic review of these products.
Length and Structure of the Course
The course consists of two days of lectures and case studies. Each day typically consists of four 90 minute session with coffee breaks in the morning and afternoon and a lunch break in the middle. There is no exam for this course but candidates will get a certificate of attendance.
Course Tutor
Neil Schofield
Neil is a visiting fellow at the University of Reading and is a freelance training consultant. From 2001 to 2008, he was global head of financial markets training at Barclays Capital in London. He was responsible for the design and delivery of a large number of seminars in a variety of different asset classes to many different audiences. Previous to that he was a director at Chisholm Roth training in London and has also held positions at Chase Manhattan Bank as well as Security Pacific Hoare Govett (now trading as Bank of America). Neil has over 20 years of experience in financial markets. In 2008, he published his first book “Commodity Derivatives” and his second text “Trading the Fixed Income, Inflation and Credit Markets” was published in 2011.
He is currently co-authoring a book on Inflation entitled “Trading Inflation: Markets, instruments and strategies”, which is due for publication in 2013.
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