Course Outline
 

Course Title

  

Managing Non-Linear Risk

Course Category

    Online
Target Audience  

-Treasury and other financial professionals who manage their firm's exposure to market risk.
-Executives whose firms are exposed to market risk.
-Professionals who need to understand how market risk is measured, assessed and managed in a diversified portfolio of financial instruments (equity, fixed-income, currency, commodity).
-This course is relevant to professionals in commercial firms with market risk exposures, commercial banks, central banks, supervisory/regulatory agencies, investment banks, mutual fund companies, brokerage firms, insurances companies, accounting firms, and consultancy firms.
-Students preparing for the FRMTM exam will also find the course useful for exam preparation, and the course includes examples of questions from recent FRMTM exams.

Continuing Education

  

6 MX CE Credits

Prerequistes

   A solid understanding of financial markets, probabilities and risk measurement.
Understanding of options (Courses 212 and 213, or 224)
College level mathematics
Objectives   This course shows how to manage option risks. Upon completion of this course, you will have a good understanding of:

·How to use options to achieve flexible payoff profiles.
·How to price basic option contracts.
·How to map option values on their underlying risk factors, through sensitivity factors called the
Subject by level  

Topics  

Section 1 - Option Payoffs as a Function of the Price of the Underlying Asset
-  Options: Basic Features
-  Types of Options
-  Option Premium
-  Options: Payoff Structures
-  Combining Assets with Options
-  Combining an Asset Position with an Option Position
-  Combining Two Option Positions
-  Put-Call Parity
-  Bounds for Option Prices
-  European Option Distribution

Section 2 - Option Pricing
-  Option Premiums
-  Option Premium and Asset Price
-  Market Values and Sensitivities of an Option
-  Option Premium and Risk Factors
-  Option Pricing: A European Call
-  Option Pricing: Interpreting the Black-Scholes Formula
-  Using the Black-Scholes Formula

Section 3 - Option Mapping
-  Sensitivity Factor: Delta
-  Sensitivity Factor: Gamma
-  Delta and Gamma
-  Delta-Equivalent Positions
-  Delta and Dynamic Replication
-  Dynamic Portfolios
-  Sensitivity Factor: Vega, Rho, Rho* and Theta
-  Summary of Sensitivity Factors
-  Summary of Exposures
-  Risk Management by Sensitivity Factors

Section 4 - Portfolio Exposures
-  Portfolio Exposures
-  Portfolio Mapping
-  Portfolio of Options
-  Vertical Spreads
-  Straddles, Strips, and Straps
-  Butterfly Spreads
-  Variants of Option Strategies

Section 5 - Risk Management with Options
-  Positions and Risk Factors
-  Delta VAR
-  Delta-Gamma VAR
-  Option Distribution
-  Asset and Option Distribution
-  Dynamic Risk Management Strategies
-  Asymmetry in Option Distributions
-  Effect of Other Factors

 
Duration   This online course is equivalent to an in-class course with a duration of 6 hours. Online courses are self-paced, and the time necessary to complete each course will vary with each student
Time to comple the course   Six months (user account can be deactivated after this period)
Date   Available now
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