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Financial Markets Boot Camp

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02 months programme including 13 half-day online interactive training sessions

The course is split up into 13 online training sessions each 3.5 to 4.0 hours. The detailed content and the dates of the sessions are given below under Course Outline.

01st Nov – 15th Dec, 2020

Price per participant: 2,800 EUR 

*Alumni discount is 10%

Target Group

This course is designed to junior financial market dealers, early career corporate and bank treasurers, as well as operations staff (including IT) or other financial professionals.

Junior financial professionals, after their graduation in a finance or a business related topic, have gained first experience in the financial markets on the job already and are working in specific areas with dedicated tasks.

The course gives them the opportunity and time to get away from all-day routines and go back - in a very condensed way - to the school/university desk, refresh and deepen their knowledge and understand financial markets from a holistic fundamental view building upon their already gained experience.

Learning Target

Although the course has an academic and quantitative foundation it is practical orientated with many interactive (often excel based) exercises and case studies based on real market events. After finishing the course the students should have gained a deep and long lasting knowledge of some of the most fundamental principles in finance from which they will benefit throughout their entire career.

Students can benefit from more time between the sessions to digest the content between the modules. Exercises will be given as homework task after each module which helps the students to review the content and test their comprehension of the discussed topics.

Content

  • Mathematical Foundations (Excel, Analysis, Stochastic)

  • Introduction to Financial Markets

  • Asymmetric Products

  • FX products, FX pricing and FX settlement

  • Risk Management

  • Regulation

Methodology

Lecture, discussion, individual and group exercises, case studies and reading materials on FS e-learning platform

Course Outline

Module 1 - Mathematical Foundations

Excel

  • Set Up
  • VBA

Analysis

  • Differentiation
  • Integration
  • Partial Derivatives
  • Taylor-Series

Stochastic

  • Statistical Measures
  • Variance/Covariance
  • Binomial Distribution
  • Normal Distribution
  • Quantiles

Module 2 - Introduction to Financial Markets

Core principles of Financial Markets

  • Time Value of Money
  • Present Value
  • Bonds

Today’s Financial Markets

  • Market participants
  • Different Markets
  • Financial Crisis 2008/09

Symmetric Products

  • Yield Curve
  • Forward
  • SWAP and FRA
  • Futures

Module 3 - Asymmetric Products

Options

  • Type of Options
  • Option Strategies

Binomial Tree Model

  • One Step Model
  • Generalization
  • Volatility

Black Scholes Model

  • Pricing European Call/Put Options
  • Implied Volatility

Module 4 - FX

FX Products

  • FX Spot,
  • FX Forward
  • FX Swap

FX Pricing

  • Calculation of Cross Rates
  • Calculation of FX Forward Rates and Swap Points

FX Settlement

  • Non-Deliverable Products
  • Continuous Linked Settlement

Module 5 - Risk Management

Definition of Risk

Market Risk

Value at Risk

Credit Risk

Other Risks

Module 6 – Regulation

Basel III

MIFID/MiFIR

EMIR

Market Abuse Regulation

EU Banking Union

Dodd-Frank (inlc. Volcker Rule)

Glass-Steagle Act

7. A Trader‘s View

  • A practical Introduction
  • Theory : Recap
  • Practice
      A typical day
      The Anatomy of linear IRD
      What is Volatility?
      The Functioning of a Cap
      Delta {0;1}
      IBOR – Why is it important and what is changing?
      Hedging a Bond Option
      Show Session: Bloomberg, Eurex & More
  • Future Outlook
      Blockchain, Smart Contracts

8. Risk Management

  • Fundamentals of Risk: risk typologies, risk-return relationship, risk measures, risk management and mitigation strategies. The Risk Management Process: identification, measurement, limits, hedging, mitigation and control.
  • Basic Principles of Operational Risk and Internal Control. The three lines of defence approach. Roles and responsibilities of front office, middle office and back office. The role of Compliance. Disaster Recovery and Business Continuity Planning.
  • Credit Risk in Financial Markets: counterparty credit risk, settlement risk, issuer credit risk. Credit risk mitigation: securitization, collateral, covenants, netting, central counterparty clearing.
  • Special Focus on Market Risk: interest rate risk, equity price risk, currency risk and commodity price risk. The limit structure in the dealing room. Value at Risk and Expected Shortfall measures for market risk.

9. Asset Liability Management

  • Definition and Scope of Asset Liability Management. Practical challenges in managing banking book exposures.
  • Organization and Governance of ALM practice: the role of the Risk Management, Treasury, ALM Department and ALCO. The importance of ALM in terms of business development, strategic planning, long-term funding, capital management, the Internal Capital Adequacy Assessment Process (ICAAP) and the Internal Liquidity Adequacy Assessment Process (ILAAP).
  • Analyse the impact of main risk factors on the asset and the liability side of the balance sheet (interest rate risk, FX risk, liquidity risk, credit risk).
  • Key ALM analytics: cash flow schedules, gap analysis, stress testing.  
  • Credit risk, market risk and minimum capital requirements under Basel rules.