Date |
23-24 September, 2024 |
Time |
9 a.m. till 1 p.m. (EEST) |
Prices |
600$ (AFCM Member) /700$( Non-Members) |
|
Online Course |
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
Click here to Register