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Advanced Course-Workshop on Derivatives and Structured Products


  • DATE:
    November 26–30, 2018, Bogota, Colombia.
  • Deadline registration date:
    November 5, 2018
    CEMLA and Federal Reserve Bank of New York.
    1. Valuation of the main plain vanilla derivatives. Neutral risk valuation techniques. Valuation of forwards. Valuation of swaps. Evaluation of vanilla options. The problem of volatility. Estimation of other necessary parameters. Options on interest rates: Caps, Floors and Collars. Portfolios of swaps with caps and floors. 2. Valuation of exotic derivatives. Digital and ranges. Options with barriers. Caps, floors with barriers. Asian options Loockback options. Cliquet options. Basket options Spread options. Power options Bermuda options. 3. Market models of interest rates. Asian swaps. Swaps in arreas. Swaps with caps and floors. Swaps with Bermuda options. Currency swaps. 4. Credit derivatives. Credit events. ISDA contracts. Credit default swaps (CDS). Neutral risk rating of a bond. Neutral risk survival probabilities. Recovery rate. Neutral risk assessment of a CDS. Rating of Digital Credit Default Swaps. FtD. Rating of First to Default. CDO assessment. 5. Structured products. Deposits and notes: digital, rank, Asian, barrier, click, reverse. Deposits and notes guaranteed with vanilla options and Asian options. Real cases of structured products marketed by the industry. 6. Risks and hedges with derivatives. Market, Credit, Counterparty, Liquidity, Operational, Reputational. Static coverages and dynamic coverage. Counterparty risks. CVA (Counterparty Valuation Adjustments). Application to currency forward, FRA, swaps and options. CDS and counterparty risks. Neutral risk survival probabilities and natural survival probabilities. CVA in Basel II and Basel III. Bilateral CVA. 7. Accounting of derivatives in the framework of IFRS. 8. Workshops.
  • Objective:
    Analyze, through the detailed presentation of cases, many of the structured products issued by financial institutions over the past decade.
    Areas of reserves management, monetary policy, financial stability, research, risk measurement, internal control, internal audit, supervision and regulation of financial institutions and accounting within the framework of the IFRS, of central banks and superintendencies members of CEMLA. Participants should have working knowledge of financial mathematics, traditional financial instruments, financial markets, and basic statistics concepts.
    Spanish (without simultaneous interpretation).
    Jimena Carretero
    Training Manager


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