ACF Academy
Risk Management Training Training
 Risk Management Training
Targeted Audience:
 Anyone working in FX risk management, including corporate treasurers, companies with multi-currency operations, currency sales and trading professionals, or those advising clients on managing their FX risk.
CPE Credits:
 14 hours
Course Level:
Date  DurationCostVenueRegister
31 Jan - 1 Feb 2019  2 days£1925.00London
6-7 Feb 2019  2 days$2750.00New York
19-20 Mar 2019  2 days£1925.00London
19-20 Mar 2019  2 days$2750.00New York
3-4 Apr 2019  2 days£1925.00London
15-16 Apr 2019  2 days$2750.00New York
19-20 Jun 2019  2 days$2750.00New York
19-20 Jun 2019  2 days£1925.00London

Managing FX Risk in a Volatile World

Currency risk affects any organisation operating across international borders – and volatility in FX markets has never been greater, with shock moves in a single day of up to 20% in major currency pairs, like £/$ after Brexit, or the €/CHF after the SNB changed its policy.

No firm can afford to ignore these risks. ACF’s essential seminar on Managing FX Risk in a Volatile World explains how treasurers and bankers can effectively manage currency exposure using the latest hedging techniques. Over an intensive two-day period, the seminar:
Reviews the workings of the FX spot and forward markets and the fundamentals of options.
Provides an intuitive understanding of option pricing, and the significance of volatility.
Explains option Greeks, and why they are important.
Highlights the key differences between FX options, and options on other underliers.
Demonstrates how FX options can be combined in different ways to create a wide variety of valuable structures.
Illustrates how vanilla FX options can be combined to build targeted hedges, or to exploit specific views of the market.
Develops within delegates an innovative and pro-active approach to the handling of FX risk management needs.
Consolidate delegates’ understanding by providing extensive first-hand experience with computer-based strategy evaluation, graphics, analytics, option pricing, and simulation.
Hot Topic  Optimising FX risk management across the firm.

After attending the program, delegates will have mastered the concepts and practices of FX risk, be confident in handling FX hedging products, and will return able to make an immediate and effective contribution to the management and control of currency risk.

Course Outline
Review of Foreign Exchange Spot and Forward Markets
Market mechanics
Quotation conventions
Outright forwards and swaps
Relation between spot and forward markets
Quoting forward rates and swap points
Forward discounts and premiums
FX swap points and interest rate parity
Handling Transaction Risk from Overseas Revenues
 Review of Options
Options definitions and terminology
Calls and puts; buying and selling
American vs. European style
In-, at-, and out-of-the-money
Intrinsic and time value
Components of time value
What the buyer pays for – the true cost of an option
Value and profit profiles
Profit profiles at maturity
Profit profiles prior to maturity
 Option Pricing – An Intuitive Approach
Types of option pricing model
Binomial option pricing
Monte-Carlo option pricing
Currency option pricing workshop
Put-call parity
Significance of volatility
Historic, implied, and experienced volatility
The term structure of volatility
Volatility smiles and skews
 Option “Greeks”
Measuring dimensions of option risk
Delta – the hedge ratio
Gamma – the change in delta
Theta – the decay of time value
Vega – the sensitivity to volatility
The Greeks of s.t. options compared to l.t.options
The Greeks of ATM options, compared to ITM or OTM options
Greeks workshop
 Understanding FX Options
Calls are Puts!
FX option trading conventions
Dates: premium payment, expiry, and settlement
Tokyo vs. New York cuts
Quoting volatility
Quoting deltas
Live options vs. delta exchange
The 25-delta strangle
Risk reversals
 Building Option Portfolios
Horizontal, vertical, and diagonal spreads
Straddles and strangles
Ratio spreads and backspreads
Correlation products
Designing your own structure – a fluent transition between payoff diagrams and component parts
 Hedging and Financial Engineering with FX Options
Comparison of using in-, at- and out-of-the-money options
True cost of options hedging – time value
Hedging techniques using short option positions
Creating and using collars or risk reversals
Creating and using spreads
Zero-premium hedges
Creating and using zero-cost collars
Creating and using participating forwards
Deferred and embedded premiums
Creating and using break-forwards
The “continuum” from in-the-money to out-of-the-money options
Hedging FX risk
Financial Engineering with Currency Options
 Option Trading Strategies
Directional vs. volatility trading
Directional trading strategies
Near vs. far dates
Out-of-the-money vs. in-the-money
Options vs. cash
Volatility trading strategies
Directional and volatility trading with currency options


NB All practical sessions are highlighted like this:
means a Workshop or Simulation
means a Case study


"Excellent – very impressed with the program, well placed and good mix of practical and classroom work."

– Christine M.