Managing FX Risk in a Volatile World

  Intermediate CPD: 14 hours   2 days

Description

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.

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.

Learning Outcomes

By attending this course, you will:

  • Review the workings of the FX spot and forward markets and the fundamentals of options
  • Gain an intuitive understanding of option pricing, and the significance of volatility
  • Understand option Greeks, and why they are important
  • Explore the key differences between FX options, and options on other underliers
  • See how FX options can be combined in different ways to create a wide variety of valuable structures
  • Examine how vanilla FX options can be combined to build targeted hedges, or to exploit specific views of the market
  • Develop an innovative and proactive approach to the handling of FX risk management needs

Who Should Attend

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.

Prerequisites

None

Seminar Content

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
  • computer 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
  • computer Currency option pricing workshop
  • Put-call parity
  • Significance of volatility
  • Historic, implied, and experienced volatility
  • The term structure of volatility
  • Volatility smiles and skews
  • The Greeks – measuring the dimensions of option risk
  • computer 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 Δ strangle
  • Risk reversals
Building Option Portfolios
  • Horizontal, vertical, and diagonal spreads
  • Straddles and strangles
  • Ratio spreads and backspreads
  • computer 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
  • computer Hedging FX risk
  • computer 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
  • computer Directional and volatility trading with currency options

Dates and Locations

Date
Date(s): 30 Jan 2020 - 31 Jan 2020

Location
New York

Category
Risk Management

Other Dates and Locations
Check our course schedule for alternative dates and locations where this course is offered.


  

$2,300.00


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