Day 1

Sales & Trading

·       Organization of sales and trading business – common trading desks; market-making vs proprietary trading; how these businesses generate profit.

      Case Study 1 – P&L of large banks’ trading businesses.

·       Risk management – VAR, sVAR, expected shortfall (ES), sensitivity measures, market risk stress tests.

Case Study 2 – Illustrative calculation of VAR, sVAR and ES for hypothetical trading portfolio using Monte Carlo simulation and historic approach.

·       Basel 3 market risk capital requirements incorporating Fundamental Review of the Trading Book (FRTB) – standardised approach (SA) vs internal models approach (IMA); comparison of FRTB vs Basel 2.5.

Case Study 3 – Illustrative calculation of market risk capital requirement for hypothetical trading portfolio under FRTB SA and IMA vs under Basel 2.5 IMA.

·       Measuring economic value added (EVA) at trading desk level and by client – capital diversification benefit, cost of equity and performance assessment.

Case Study 4 – Illustrative trading desk EVA calculation.

Prime Brokerage

·       What is it?

·       Prime brokerage services – cash management, securities lending, settlement services and custody services

Case Study 5 – Illustrative services provided by prime broker, and charges therefrom, for hypothetical client portfolio over a period of time

Day 2

Back & Middle Office Operations

·       Product description

·       Securities settlement systems

Case Study 6 – Examining Euroclear – how it works for securities settlement; asset classes covered

·       Securities borrow fails

·       Corporate actions

·       Derivatives – over-the-counter (OTC) vs exchange traded; centrally cleared vs non-centrally cleared; credit support annexes (CSAs) and collateral posting requirements; matching new trades, terminations and novations

Case Study 7 – Calculation of variation margin and Initial margin for centrally cleared OTC derivatives

Case Study 8 – Calculation of variation margin and Initial margin for non-centrally cleared OTC derivatives. ISDA Standardised Initial Margin Model (SIMM)

Financing Operations

·       Funding of trading business

Case Study 9 – How large banks’ trading businesses are funded

Repos and reverse repos. Securities lending and borrowing

Case Study 10 – Overview of global repo market activity

For registrations send email to elias.geagea@arab-exchanges.org or contact +961 3 107 423

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