giddy.org

Treasury Products Workshop

Bayerische Hypovereinsbank AG

Presented by Professor Ian H. Giddy, New York University

Schedule


Day 1

  • Treasury Products as Tools for Risk Management
    • Risk management - the financial institution's viewpoint
    • How Treasury Products fit in
    • Portfolio theory and hedging of institutional investor risk
    • Types of market risk
    • Overview of the Workshop

  • Interest Rate Risk Measurement
    • Approaches to financial institution risk measurement
      • Maturity
      • Duration
      • Convexity
    • Case study
    • An alternative approach: Repricing
      • Tools for analyzing the yield curve
      • Coupon bonds
      • Zeroes: a method for valuation and sensitivity analysis
      • Spot rates
      • Forward interest rates
    • Hands-on application

  • Risk Management Tools: Mechanics and Linkages
    • Cash markets
    • Forward rate agreements (FRAs)
    • Futures
    • Swaps
    • Caps, floors and collars
    • Case study

  • Focus: Interest Rate Swaps
    • Structures of interest rate and currency swaps
    • Pricing and quotations
    • Credit aspects
    • Applications
    • Hands-on numerical application

  • Evening: Darmstadt Dilemma Negotiation


Day 2

  • Focus: Futures Contracts
    • Definition and mechanics
    • Relation to forward contracts
    • Interpreting futures quotations
    • Other futures: currency, index, commodities, etc.
    • Case study

  • A Roadmap for Interest Rate Hedging
    • FRAs versus futures versus swaps
    • Basis risk and minimum variance hedging
    • Use of options

  • Managing Risk with Option-Based Products
    • Eurodollar puts and calls
    • Mechanics of options
      • Over-the-counter
      • Exchange-traded
      • Futures options
    • Interpreting quotations
    • Option pricing
      • Binomial models
      • Black-Scholes type models
      • Others
    • Importance of volatilily
    • Delta hedging
    • Case study/application
    • Other options: stocks, index, currency, commodity, etc.

  • Caps, Floors and Collars
    • Link between caps and puts
    • Link between floors and calls
    • Cap-floor-swap parity
    • Structuring collars
    • Hands-on exercise

  • Swaptions
    • Definition and mechanics
    • Applications
    • Pricing
    • Puttable vs callable swaptions
    • Link to callable and puttable bonds
    • Assignment

  • Evening: Negotiating a Hedging Program for a Client


Day 3

  • Managing the Risk of Hybrid Securities
    • Investment instruments
    • Funding instruments
    • Warrant bonds
    • Convertible bonds
    • Callable bonds
    • Hands-on application

  • Structured Notes
    • Medium-term notes: how they work
    • Case study

  • Managing Currency Risk for Institutional Investors
    • Hedging the Currency Risk of International Bond Portfolios
    • Hedging with Currency Swaps
    • Hedging with Short Term Forwards or Futures
    • Application

  • Currency Risk in International Equity Portfolios
  • Should an International Equity Portfolio be Hedged?
  • Accounting vs. economic exposure
  • Hedging Cash Flows
  • Hedging Market Value
  • Hedging with Conventional Options
  • Hedging with Quanto Options

  • Review and Summary of the Seminar



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