Username: *
Password: *


(4-day programme / delegate fee 13.500 DKK ( 1800 EUR))
Sign up for this
Certificate »
(4-day programme)
The Foreign Exchange Market
  • Spot exchange rates
  • Roles of market-makers, brokers and electronic broking
  • Reciprocal rates
  • Cross-rates
  • Uses of the forward market
  • Forward outrights
  • The relationship with the money markets
  • Forward swaps
premiums and discounts
cross-rate swaps
what is a swap deal?
settlement rates
historic rate rollovers
hedging forwards via deposits
  • Covered interest arbitrage

Review of previous day's homework
The Foreign Exchange Market (continued)
  • Short dates
daily rollover of positions
  • Forward-forward
  • Time option
  • NDF
  • Position-keeping: average rate, net position, and profit/loss
  • Introduction to precious metals
price quotation
gold fix
borrowing, gold lease rate, forwards, contango & backwardation
The Money Markets
  • Time value of money, present value / future value, NPV
  • Calculation of simple yield on an investment
  • Simple and compound interest
  • Annual and semi-annual equivalent yields
  • Compounding ‘strip’ calculation
  • Cash loans and deposits
domestic versus Eurocurrency
reference fixing rates:  LIBOR, EURIBOR
  • Yield curve shapes and theories
  • Interpolation
  • Value dates and broken dates
  • Day / year conventions
converting between ‘bond’ and ‘money market’ yields
  • Certificates of deposit
calculation of settlement amounts
price / yield relationship
accrued coupon, capital gain/loss
  • Discount instruments
T-bills, commercial paper, bills of exchange
calculation of settlement amounts
discount / yield calculations
domestic, foreign, and Euro securities
  • Brief introduction to bonds
  • Classic repo and terminology
  • Economic benefit versus legal benefit
  • General collateral v. specials
  • Marking to market, margin and margin calls, substitution
  • Coupon payments, manufactured payment
  • Calculation of cashflows including initial margin
  • Term repo, open repo
  • Bilateral, triparty and hold-in-custody repo
  • Uses and applications of repos
  • Buy/sell-back
treatment of coupon payments
close-out and repricing
calculation of cashflows
  • Legal documentation (GMRA)
  • Central bank repo

Review of previous day's homework
The forward yield curve and FRAs
  • Forward / forward interest rates
  • The forward yield curve
  • FRAs
the mechanics, pricing and settlement
uses by borrowers, depositors and position-takers
  • Creating a strip rate from a series of cash rates and/or FRAs
STIR futures
  • Basic mechanics and terminology
comparison between FRAs and futures
clearing house and margin structure
  • Trading with futures
  • Hedging a FRA with futures
  • Basis point values, tick sizes and tick values
variation margin calculations
  • Major exchanges and contracts
Interest rate swaps
  • Basic mechanics and terminology
  • Asset and liability swaps, synthetic FRN
  • Basis swaps
  • Overnight index swaps
  • Settlement calculations for IRS and OIS

Review of previous day's homework
Currency and interest rate options
  • Basic mechanics and terminology
  • Call, put, profit and loss profile
  • Price inputs
  • Straddle, strangle
  • Synthetic forward and put/call parity
  • IRG, cap, floor, collar, zero-cost structures, swaption
  • Premium settlement calculations
  • Delta, vega, theta, rho, gamma
interpretation of delta and delta hedging
  • Use of derivatives for hedging, speculation and arbitrage
Corporate Risk Management
  • Description of different types of exposure
economic, competitive
Bank Risk Management
  • Market risk
sub-categories of market risk
risks to net interest income
  • Credit risk
default risk, counterparty credit risk / replacement risk, settlement/delivery/Herstatt risk
concentration risk, wrong-way risk
limits, collateral, covenants
netting, documentation, master agreements
true-sale securitisation
  • Operational risk
model, fraud, personnel, back office, disaster, systems, systemic risks
legal and regulatory risk
  • Reputational risk
  • Strategic risk
  • Funding liquidity risk
  • Introduction to accounting
banking book v trading book
amortising / accrual v fair value
P&L v ‘equity’
hedge accounting
  • FTP, LTP
  • ALM
gap management
time buckets
positive / negative gaps
gap risk
modified duration
effect of maturity, coupon and yield
positive / negative duration gaps
how to hedge
  • VaR
normal curve, standard deviation/variance/volatility, correlation/covariance
confidence level, holding period, observation period
variance/covariance, historic, Monte Carlo approaches
expected shortfall / conditional value-at-risk
  • Basel III
economic capital / regulatory capital
pillar 1, pillar 2, pillar 3
components of regulatory capital, tiers 1 and 2
risk asset ratio, capital conservation buffer, countercyclical buffer, SIFIs
market risk
standardised rules, internal models
credit risk
standardised / CEM, F-IRB, A-IRB
CVA charge
operational risk
basic indicator, standardised, advanced measurement approaches (AMA)
  • Liquidity risk, LCR, NSFR
  • Leverage ratio
Homework and practice exams
A help line is available until each participant has passed the exam.

Sign up below

Sign me up for this course: *
Become a
ACI Member »


ACI Dealing certificate
The ACI Model Code
18-21 june 2013
ACI Dealing certificate
The ACI Model Code

Candidates are provided with the ACI's Model Code to study in advance of the course


ACI World Congress 2019

We are pleased to share with you more details on the 58th ACI World Congress that will be held from 03rd to 05th October 2019 in Colombo, Sri Lanka.

03/10/2019 - 05/10/2019

Location: Colombo Hilton, 2 Sir Chittampalam A Gardiner, Mawatha, Colombo 00200, Sri Lanka

ACI UK & CISI - LIBOR Migration Panel


In a joint event with ACI UK, CISI will host a panel at 12:00 on Tuesday 8th October dedicated to the proposed changes to this important benchmark for financial markets.


08/10/2019 - 08/10/2019

Location: CISI - South Side Entrance, 3rd Floor, 20 Fenchurch Street, London, EC3M 8AF