Risk Definitions

• Identifying types of risk
• Identifying the sources of risk
• Basic financial maths
• Interest rate risk
• Liquidity risk
• Operational risk

Interest Rate Risk

• Basis point shift
• Valuing medium-term cash flows
• Compound discount factors
• Establishing grid points
• Identifying the risk in different periods
• Weighting cash flows

Interest Rate Risk Management

• How to use derivatives to hedge risk
• Derivatives/Cash - when to use

Sensitivities in Bond Cash Flows

• Basic structure of cash flows
• Discounted cash flows
• Duration
  • Macaulay
  • Modified
• Convexity

The Zero Coupon Yield Curve

• Why do we need zero coupon curves?
• Deriving the curve from coupon related yield curves

FX Risk

• Spot open position
• Position keeping
• Revaluation
• Creating forward portfolios
• Interest risk in FX
• FX forward revaluations
• Valuing forward portfolios through Net Present Valuations (NPV)
• Net open position in forward portfolios
• Establishing value in forward portfolios
• Inherent interest rate risk in forward portfolios

Options

• Basic terminology and definitions
• Risks in options
• The 'Greeks' with particular attention to Delta and Gamma
• Managing option risk
• Linear/Non-linear profit profiles