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ACI DEALING CERTIFICATE

(4-day programme / delegate fee 13.500 DKK ( 1800 EUR))
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ACI DEALING CERTIFICATE
(4-day programme)
 
 
  
DAY 1
 
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
 
 
Homework
 
 

DAY 2
 
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
delivery
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
 
 
Repos
 
  • 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
 
 
Homework
 
 

DAY 3
 
 
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
specifications
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
 
 
Homework
 
 

DAY 4
 
 
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
transaction
translation
economic, competitive
 
 
Bank Risk Management
 
  • Market risk
sub-categories of market risk
risks to net interest income
limits
 
  • 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
DvP, PvP, CLS
CCP
CDS
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
objectives
methods
gap management
time buckets
positive / negative gaps
gap risk
modified duration
concept
effect of maturity, coupon and yield
positive / negative duration gaps
how to hedge
ALCO
 
  • 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.
 
 

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Education

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

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https://www.acifma.com/events