Your complete guide to the world's premier finance courses

"Everything was exceptionally interesting and

valuable...the best training course I've been on!"
M.H., UFJ International,
International Faculty of Finance Credit Risk Modelling

DIRECTORY OF

financial
2004-2005

training
Information Hotline: +44 (0)20 7915 5602 www.iff-training.com

Corporate Finance
Project Finance
Investment Management
Banking Operations
Risk Management
Derivatives and Trading
Bonds and Fixed Income
Energy
PLUS
IFF MasterClass School Series
IFF Business Performance Improvement

"This is without a doubt the best and most

productive course I have attended"
M.T., Investec Bank
Fundamentals of Structured Products
 Dear Client
Dear client
Welcome to IFF’s latest directory of state of the art
financial training programmes – formulated to give
you the edge in an increasingly competitive and
volatile global marketplace.
IN TODAY’S MARKET – EVERYTHING IS ABOUT VALUE
IFF’s primary goal is to equip our clients with the
skills, knowledge and experience that will enable
them to achieve outstanding results in their careers.
We have succeeded in this goal for over 12 years
and we are constantly searching for innovative ways
to add even more value to our clients. The
cornerstone of IFF’s training methodology is about
how you take the knowledge from the classroom
and apply it in the real world. That’s why our robust
training programmes are developed with business
applications as our number one priority.
WHY HAVE OVER 25,000 FINANCE PROFESSIONALS
CHOSEN IFF PROGRAMMES?
Quite simply, their choice was driven by the fact
that IFF has an exemplary reputation for delivering
results at the highest level. Whether an individual
attends one of our public courses, or if an
organisation requests an in-company training
solution, you can be sure that IFF is able to give you
the skills, knowledge and tools to achieve your goals.
THE IFF TRAINING METHODOLOGY – A FRAMEWORK
FOR SUCCESS
The IFF training framework works on three levels:
• Knowledge acquisition
• Skills acquisition
• Skills practice
By following this framework, we are able to ensure
that all IFF programmes have the perfect balance
between theory and practice, therefore making it
much easier for you to apply your new skills and
knowledge back in the workplace.
WHAT MAKES IFF THE GLOBAL LEADER IN
FINANCIAL TRAINING?
1. Business solutions focused – through in-depth
research and development at all levels in the market
we are able to pinpoint the developmental areas
most important and essential to today’s finance
professionals. We focus on equipping you with the
tools you need to overcome your personal business
challenges
2. Applications orientated – each course is designed
to provide you with extensive exposure to the
practicalities of the subject – therefore ensuring
easy transference into the real world
3. Unrivalled faculty of leading global experts – the
IFF faculty is comprised of some of the worlds
leading financial trainers and consultants. During
our research process we identify the thought leaders
in each topic area – these thought leaders become
our faculty
4. Personal coaching / tuition – IFF have always
limited class sizes at our events. The rationale is
☎
simple, we want every individual to benefit from the
maximum possible personal tuition from our faculty
Booking Hotline 5. Continuous enhancement – IFF course
+44 (0) 20 7915 5602 programmes are continually reviewed and enhanced
www.iff-training.com
in order to reflect the changes we all encounter in
the global markets. You can be certain that all
content and applications are 100% up to date and
state of the art.
6. We train world leading organisations – every year
we train over 2500 professionals from some of the
world’s leading financial institutions – our client list
reads like a who’s who in the banking world – time
after time our clients keep coming back because
they know we always deliver!
IFF BUSINESS PERFORMANCE IMPROVEMENT – SAVE
UP TO 40%
IFF Business Performance Improvement has been
adopted and utilised all over the world. We are able
to research, design and deliver a bespoke training
programme that is specifically aligned to the needs
and requirements of your staff and business,
delivering it at your location anywhere in the world
– many clients refer to this service as "the ultimate
business solution". In addition to providing dramatic
performance improvement, in-company training
allows you to make huge cost savings when
compared to conventional training. For more
information on how we can help you, please see the
relevant section in the directory or call us on: +44
(0) 20 7915 5360
MARKETS NEVER STAND STILL SO NEITHER SHOULD
YOU
Let’s face it, our marketplace is one of continual
change and challenge. The knowledge that helped us
to get where we are now is definitely not enough to
get us to where we want to be. In order to achieve
significant success, you must ensure that your skills
are developing at a rate that exceeds the speed of
change in your sector. Reading through this
directory you will notice courses that would be
valuable to you right now – don’t put them off by
thinking you can always find time for training later.
The reality is, if you are not present at the training,
you can be sure that your competitors will be!
The IFF team is always on hand to assist you in your
development needs, so if you have any questions on
any programmes in our portfolio, please contact us
on +44 (0) 20 7915 5602.
Yours sincerely
Jeff Hearn
General Manager, IFF
P.S. Special discounts exist for multiple attendees –
call us for details of how much you can save
P.P.S. Places on our programmes always sell out
weeks in advance – book early to avoid
disappointment
Contents
IFF’s Independent Advisory Boards . . . . . . . . . . . . . . . . . . . . . . . . . .2
IFF Business Performance Improvement . . . . . . . . . . . . . . . . . .3 & 71

DERIVATIVES & TRADING COURSES

Energy Markets and Energy Derivatives. . . . . . . . . . . . . . . . . . . . . . .4
Equity Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5
Fundamentals of Pricing and Trading Options . . . . . . . . . . . . . . . . . .6
Exotic Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .8
Mastering Credit Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .10
Fundamentals of Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .11
Advanced Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .12
School of Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .14
School of International Capital Markets . . . . . . . . . . . . . . . . . . . . . .16
Fundamentals of Structured Products . . . . . . . . . . . . . . . . . . . . . . .18
Fundamentals of Global Financial Markets . . . . . . . . . . . . . . . . . . .19

RISK MANAGEMENT COURSES

Fundamentals of Risk Management . . . . . . . . . . . . . . . . . . . . . . . .20
Operational Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .21
Advanced Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .22
School of Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .24
Market Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .26
Monte Carlo Simulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .26
Quantitative Value-at-Risk Analysis . . . . . . . . . . . . . . . . . . . . . . . . .27
Credit Risk Modelling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .28
Integrating Market Risk and Credit Risk . . . . . . . . . . . . . . . . . . . . .29
Assessing Economic and Regulatory Capital . . . . . . . . . . . . . . . . . .30
Understanding Basel II and Economic Capital . . . . . . . . . . . . . . . . .31
Financial Engineering . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .32
Interest Rate Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .34
Bank Credit Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .35

BONDS & FIXED INCOME COURSES

School of Bonds & Fixed Income . . . . . . . . . . . . . . . . . . . . . . . . . .36
Fundamentals of Global Bond Markets . . . . . . . . . . . . . . . . . . . . . .38
Mastering Bonds Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .39
Fundamentals of Convertible Bonds . . . . . . . . . . . . . . . . . . . . . . . .40

PROJECT FINANCE COURSES

Project Finance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .41
School of Project Finance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .42
Legal Aspects of Project Finance . . . . . . . . . . . . . . . . . . . . . . . . . .44
Project Finance Modelling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .45

CORPORATE FINANCE COURSES

Financial Modelling using Excel . . . . . . . . . . . . . . . . . . . . . . . . . . . .46
Cashflow CDOs and Synthetic Structures . . . . . . . . . . . . . . . . . . . .47
Asset Securitisation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .48
Securitisation Cash Flow Modelling . . . . . . . . . . . . . . . . . . . . . . . . .49
Syndicated Loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .50
Loan Documentation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .51
Corporate Finance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .52
Corporate Restructuring . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .53
Mergers and Acquisitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .54
Corporate Valuation Techniques . . . . . . . . . . . . . . . . . . . . . . . . . . .56
Management Buy-Outs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .57
Private Equity and Venture Capital . . . . . . . . . . . . . . . . . . . . . . . . .58
International Trade Finance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .59
Corporate Credit Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .60

INVESTMENT MANAGEMENT COURSES

Fundamentals of Fund Management . . . . . . . . . . . . . . . . . . . . . . . .61
Fundamentals of Performance Measurement . . . . . . . . . . . . . . . . .62
Advanced Performance Measurement . . . . . . . . . . . . . . . . . . . . . .63
Fundamentals of Hedge Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . .64
Private Banking and Wealth Management . . . . . . . . . . . . . . . . . . . .65
Global Asset Allocation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .66

OPERATIONS COURSES
Fundamentals of Fund Administration . . . . . . . . . . . . . . . . . . . . . . .67

☎
Securities Settlement, Clearing and Global Custody . . . . . . . . . . . .68
Fundamentals of Derivatives Operations . . . . . . . . . . . . . . . . . . . . .69 Booking Hotline
Accounting for Derivative Instruments . . . . . . . . . . . . . . . . . . . . . . .70
+44 (0) 20 7915 5602
Calendar of Events . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .72
www.iff-training.com
 Why Train with IFF

OUR 5 SECTOR-SPECIFIC ADVISORY BOARDS

Risk Management
Dr David Lawrence, Vice-President and Head of Risk Analytics, Citibank
Dr Tom Wilson, Co-Head of Finance & Risk Practice, Mercer Oliver Wyman
Dr Bob Mark, President and CEO, Black Diamond Risk Enterprises
Nicholas Durlacher, Chairman, London International Financial Futures & Exchange
John Hitchens, Partner, PricewaterhouseCoopers

Derivatives, Analysis and Maths

Robert Arnott, Managing Partner, First Quadrant
Professor Mark Broadie, Graduate School of Business, Columbia University
Stewart Hodges, Professor of Financial Management, University of Warwick
David Oakes, Director of Academic and Professional Education, ISMA Centre
Dr Riccardo Rebonato, Head of Group Market Risk, The Royal Bank of Scotland
Nick Webber, Professor of Finance, Cass Business School, City University, London

Corporate Finance
Chris Robinson, Head of Global Solutions, Citibank
David Kemp, EMU Director, ABN AMRO Working Capital Group
Julian Callow, Chief European Economist, CSFB

Investment
Alan Brown, Group Chief Investment Officer, State Street Global Advisors
Michael Caccese, Partner, Kirkpatrick & Lockhart
Alex Callander, Senior Partner, Baillie Gifford
Bluford Putnam, President, Bayesian Edge Technology & Solutions Ltd
Freddy Van den Spiegel, Chief Economist, Fortis Bank

Compliance
Nicholas Walmsley, Global Head of Compliance Training, Dresdner Kleinwort Benson
David Cooper, Head of Equities Compliance, HSBC

☎ Booking Hotline
+44 (0) 20 7915 5602
2 www.iff-training.com
IFF Business Performance
Improvement
THE ULTIMATE SOLUTION FOR CUTTING COSTS AND IMPROVING PERFORMANCE WHAT YOU CAN EXPECT
IFF Business Performance Improvement is the most cost-effective way to educate and develop
FROM IFF BUSINESS
your staff. IFF has specialised in delivering in-company training programmes for over 10 years,
training some of the world’s leading financial institutions. PERFORMANCE
IMPROVEMENT
WHAT’S SO SPECIAL ABOUT BUSINESS PERFORMANCE IMPROVEMENT?
Every year over 2,500 professionals from leading financial organisations around the world attend There are three phases of IFF
IFF’s open courses. Their rationale is simple, IFF deliver the best quality financial training available Business Performance Improvement:
anywhere around the globe.
Our reputation for innovation and quality led to many of our clients coming to us with unique • Business needs identification –
training challenges that they were unable to address – that’s where IFF comes in. Over the last during this phase we can conduct
ten years IFF has been at the forefront of developments in the field of customised in-company a detailed business needs analysis
training. In fact IFF was probably the first organisation of its kind to take on such challenges.
that will help us to identify,
Put simply, Business Performance Improvement is the ultimate, most cost-effective way of training
research and develop a training
your staff at all levels within your organisation. No other form of training allows you to:
structure to meet your
• Cut the costs of your conventional training projects
requirement. Unlike other
• Increase results through performance improvement strategies
approaches, the IFF model
• Tailor the course content to focus on the unique needs of your business and your staff
assesses both Business Needs and
• Utilise your own systems, practices and data to ensure that the skills taught will be
immediately beneficial to your business
Training Needs in order to create
a highly synergistic programme
• Benefit from highly focused personal training and coaching from IFF’s unrivalled faculty of
international experts
• Implementation phase – this is
• Provide on-going support for your staff through add on workshops and briefing sessions
the phase where a training
• Benefit from IFF’s unique business needs analysis framework that will get to the very heart of
programme will be introduced
your training needs
with a view to increasing
WHATEVER YOUR TRAINING NEED – IFF CAN DELIVER performance and success at
There are many different types of in-company training that IFF can deliver: multi-levels within an
• Highly bespoke customised programmes that are built from scratch organisation. The training is
• Variants of IFF’s public courses structured and delivered in such a
• Graduate training programmes way that it has an impact on
• Industry briefing sessions individuals, teams, departments
• Highly intensive residential training programmes and even the organisation as a
• Multi-site and international training ventures whole.
Whatever your requirements, you can be sure that IFF’s expertise and flexibility will assist you in
• Solution phase – this is where
creating a highly successful training experience.
our clients start to see how
❏ FREE BUSINESS NEEDS ANALYSIS – Yes, I would like to take advantage of IFF’s training
needs analysis capabilities – please contact me to discuss this in more detail. valuable the training has been.
❏ I WOULD LIKE TO MEET WITH AN IFF CONSULTANT – our consultants are all over the During this phase we will see
globe, if you would to meet in person to discuss your training needs please tick the box. individuals and teams working
towards the success benchmarks
❏I WOULD LIKE MORE INFORMATION ON IFF BUSINESS set prior to the training.
PERFORMANCE IMPROVEMENT. Continuous support, feedback,
and follow-up training sessions
Name: __________________________________________________________________________________ are all available during this phase
Job Title: _______________________________________________________________________________ in order to focus on continuous
Department: ____________________________________________________________________________ improvement.
Company: ______________________________________________________________________________
Address: ________________________________________________________________________________
Address: ________________________________________________________________________________
City: ____________________________________________________________________________________
Zip / Postal Code: ________________________________________________________________________
Telephone: ______________________________________________________________________________
Fax: ____________________________________________________________________________________
Email: __________________________________________________________________________________

☎
Website: ________________________________________________________________________________
Topic areas of interest: ____________________________________________________________________ Booking Hotline
*** COPY THIS FORM AND COMPLETE, FAX TO *** +44 (0) 20 7915 5602
+44 (0) 20 7915 5632 www.iff-training.com 3

“What I liked most about
this course is the knowledge
and experience of the
trainers”
O.C., PricewaterhouseCoopers
Course Dates
23-25 August 2004
8-10 December 2004
Course Highlights
This course is designed to
supply delegates with a
clear and comprehensive
overview of state-of-the-art
energy pricing techniques.
The first day of the course
focuses on derivative
instruments and their
application in risk
management. The second
day concentrates on the
implementation, calibration
and pricing of derivatives in
the energy markets. The
third day provides an in-
depth discussion on real
options and value-at-risk
methodologies.
☎
Booking Hotline
+44 (0) 20 7915 5602
4 www.iff-training.com
Energy Markets and
Energy Derivatives
A practical guide to the energy industry, developed to enhance
your pricing and risk management techniques
The Structure and Operation of Energy
Markets
• Overview of oil, gas and electricity markets
• Introduction to financial engineering
• Using energy derivatives to risk manage
energy market exposure
• Understanding the Greeks
Simple Energy Derivatives: Structures and
Applications
• Forward contracts
• Futures contracts
• Option contracts
• Swaps
• Swaptions
• Exotic swaps
PC Exercise: Hedging with futures, options
and swaps
Spot Price Models and Spot Price Behaviour
– Part I
• Black Scholes or beyond?
• Mean reversion
• What is volatility?
• Volatility smiles
• Seasonality in prices and volatility
• Different approaches to spot price
modelling
• Monte Carlo simulation for spot price
PC Exercise: Spreadsheet-based Monte Carlo
Simulation
Methodologies for Pricing Derivative
Products Used in Energy Markets
• Analytic models
• Numerical integration
• Tree-based models
• Monte Carlo simulation
PC Workshop: Spreadsheet applications for
pricing energy derivatives
Exotic Derivative Products
• Spread options
• Asian options (average price and average
strike)
• Compound options
• Lookback options (fixed and floating strike)
• Barrier options
• Binary (digital) options
Spot Price Models and Spot Price Behaviour
– Part II
• Why traditional risk management methods
are difficult to implement in the energy
markets
• Jump diffusion for price spikes
• Combining mean reversion and jump
diffusion
• Calibrating a spot price model
• Choosing the right model for the instrument
• Modelling spreads
PC Workshop: Analysis of different spot price
methodologies: estimation of parameters;
multiple underlyings; do the models fit
reality?
Forward Curve Models
• Relationship between spot prices and
forward curves
• Why we may need a separate forward curve
model
• Principal component analysis
• Seasonality in forward curve models
PC Workshop: Comparison of spot models
with forward curve models in pricing
swaptions
Hybrid Models
• Fundamental modelling of energy prices
• Where stochastic and fundamental models
fail
• Introduction to hybrid models
PC Workshop: Are electricity prices driven by
load and weather?
Real Options in the Energy Markets
• Introduction to real options analysis
• Application of real options analysis to
valuation of assets in the energy markets
• examples including gas field, oil refinery,
transmission
• power generation: spark spread model
PC Workshop: Performing a real options
analysis of a power generation facility using
a spark spread model: modelling decisions,
choice of parameters and value of fuel
switching
• Real options analysis applied to natural gas
storage
• Extension of the analysis
• hedging with portfolios that contain fixed
assets
• optimising operations of fixed assets
Value-at-Risk for Energy Portfolios
• Market value-at-risk
• uses and benefits
• assumptions and limitations
• Getting started: first steps to a value-at-risk
calculation
• identifying risk factors
• observing market data
• preparing datasets
• main approaches to calculating value-at-
risk
• parametric (variance-covariance)
• Monte Carlo
• historical simulation
• advantages and disadvantages of each
methodology
• Applying at-risk methods to energy
portfolios
• modelling/decomposing common trade
types
• interpreting the value-at-risk number
PC Exercise: Estimation of volatility and
correlation datasets from historical data
PC Workshop: Comparison of the tails of the
distribution of portfolio returns under the
three different methodologies and for
various portfolio compositions
• Extending the value-at-risk analysis by
performing stress testing and scenario
analysis on the value-at-risk portfolio
Equity Derivatives
Understand how to price and structure equity derivatives and learn
exactly how to use them in practice

A Brief Review Of The Basics Understanding Equity Derivative Structures -

• Equity financing and ownership
in corporations
• Ordinary stock, cumulatives,
preferences shares, convertible bonds
• Bankruptcy rights and rights to dividends,
rights issues and pre emption
• Yield curves and present value theory
• Volatility and distributions
• Basic probability
Complexity Of Equity Markets
• A review of their development
• Current market volumes
• Developing and emerging markets
• OTC and exchange-traded markets
• Risks and returns specific to equities
What Are Equity Derivatives?
• Equity properties
- corporate ownership
- dividends
- voting rights
• Hybrid equities
- indices
- baskets
- ADRs (American depository receipts)
- GDRs (Global depository receipts)
- enhanced return products
• The attraction of the asset class
The Issuer, The Investor And The Investment
Bank Perspectives
• Their role in the creation of equity
derivatives
• Advantages and disadvantages of equity
derivatives to each market participant
Getting To Grips With Equity Derivatives
• Forwards and futures
• Options – vanilla calls and puts
• Equity swaps
• Hybrids
- equity and fixed income asset
class mixed
- convertible bonds/company
issued warrants
Pricing Considerations
• Forward prices
- dividends
- interest rates
- stock borrow/lend
• Volatility
• Correlation
• Black-Scholes pricing assumptions
Option Pricing Techniques
• Black-Scholes
• Monte Carlo
• Price sensitivities – the “Greeks”
• Portfolio aggregation
• Scenario analysis
• Stress testing
Case study: Pricing a cliquet bond structure
using forward/forward volatility in the
Black-Scholes universe.
Part 1 “The course gave me a
• Listed products greater understanding of
- Liffe stock/index options call/put
- futures
product types and trading
• OTC products strategies”
- vanilla
- simpler exotic – barrier/currency M.H., HSBC Investment Bank
protected
- warrants including “covered” warrants
- “cliquets”
- dividend swaps Course Dates
- PEAs (Plan Epargne Actions)
- life insurance products 20-22 September 2004
- guaranteed bonds based on
one and two indices 16-18 March 2005
- CPUs (Capital Protected Units)
- building society equity-linked bonds
- equity swaps
Understanding Equity Derivative Structures -
Part 2
• Exotic options Course Highlights
- barrier – knock out and knock in
- quanto Focusing purely on market
- power
- locking/ladder
applications and
- spread techniques, this intensive
• Volatility swaps/options
• Special risks, such as PIN risk in course will provide you with
barrier options an in-depth guide to
• Currency convertibility risk
• Re-investment risk practical pricing and
• Currency protected structures structuring of equity
• Global structures
derivatives. This is a
Case study: Analysing the dynamic hedging
of a covered warrant issued by an programme designed by
investment bank (including initial hedging practitioners, for
at launch, secondary market making, delta
rebalancing and gamma control) as the practitioners. As volumes
issue becomes close to expiry. continue to surge, this
The Risk Management Of Equity Derivatives course will help you
• Scenario aggregation of risk maximise every opportunity
• Setting of risk limits
• Using VaR analysis to manage market risk to full effect.
• Managing credit risk using
- conventional credit risk measures
- credit models
• Model recognition processes
• Regulatory capital treatments
• Taxation issues
- income vs. capital gains
- different tax domiciles
Structured Solutions To Efficient Equity
Portfolio Management
• Equity performance evaluation
and benchmarks
• Equity derivatives strategies to
enhance benchmark relative
performance
- customised listed exposure
- portfolio hedging
- yield enhancement
• Capital protected asset allocation
• Exchangeable securities

☎
• Equity-linked notes
• Securitised benchmarking (OPALs / Booking Hotline
WEBs / benchmark units)
+44 (0) 20 7915 5602
www.iff-training.com 5

“A very good course, it
fulfilled my expectations
perfectly”
H.H., Syneco
Course Dates
8-10 September 2004
13-15 December 2004
16-18 February 2005
Course Highlights
This course will teach you
how to create trading and
pricing strategies using
options, spreads and other
combinations, and learn
how to value options,
measure volatility and
manage risk exposures.
While getting to grips with
the fundamentals, this three
day programme will
increase your understanding
of key strategies and
techniques, and the
numerous case studies will
show you how options are
applied in practice.
☎
Booking Hotline
+44 (0) 20 7915 5602
6 www.iff-training.com
Fundamentals of Pricing
and Trading Options
Get to grips with using options, spreads and combinations
Fundamental Properties and Concepts
• Forwards, Futures (Outrights) and Options
• Non-linearity - asymmetry of option returns
• Option “pay-off” profiles
The Fundamentals of Options Markets
• Exchange traded and OTC option markets
• FX, interest rate, equity and commodity
options
• Warrants and convertibles
Basic Option Market Terminology and
Characteristics
• Call and put options
• European, American, Asian Bermudan
options
• Intrinsic value and time value
• In-, at- and out-of-the-money terminology
• Principles and determinants of option
pricing
A Practical Introduction to Using Options -
Hedging and Trading Strategies
• Put-Call parity
- risk reversals; synthetic forwards and
options
- range forwards and participating
forwards
- profiting from put-call parity violation
• Financial trading strategies using options:
- covered calls and enhancing
portfolio returns
- protective puts - guaranteeing
portfolio returns
• Spreads and combinations
- call and put (Bull and Bear) spreads
- straddles and strangles
- butterfly and condor spreads
• Exploiting arbitrage opportunities
Workshop: Option Trading Strategies
Practical application of options in a range
of hedging and trading strategies
Introduction to Option Valuation - Principles
and Option Pricing Models
• Simple probability theory and decision
analysis - application to stochastic
processes
• Statistical measures: mean and variance
• Binomial model - arbitrage-free derivation
- assumptions of the binomial model
- dividend and non-dividend paying stocks
- American and other path dependent
options
• Volatility and time parameters in the
binomial model; value determinants, price
sensitivities
• The Black-Scholes option pricing model
• Continuous stochastic processes
- Brownian motion
• Underlying concepts, assumptions and
derivation of the Black-Scholes pricing
model
• Option price determinants: strike price, spot
price, volatility, maturity, interest rates
• Black (1976) formula for options on
forwards
• Application to commodity, equity and
interest rate options
• FX options; Garman-Kohlhagen pricing
• Interest rate options - term structure
models
• Strengths and weaknesses of
Black-Scholes
• Pricing of path dependent options
• Jump-diffusion models
• Option valuation - Monte Carlo simulation
Workshop: Option Pricing Exercises
Construction of a simple binomial model –
application to European and American style
options; pricing using Black-Scholes model
and Monte Carlo simulation. Structuring
and analysis of trading strategies
Volatility Trading
• Understanding volatility; the role of volatility
in option pricing; volatility as an ‘asset
class’
• Historic, implied and actual volatility
measures
• Computing volatility: Analysis of data
samples; sample sizes; weighting sample
data
• Forecasting volatility: (GARCH) techniques
• Volatility smiles and skews
• Term structure of volatility
• Volatility trading strategies
- vega trading; volatility ‘cones’
Option Price Sensitivities; Hedging and Risk
Analysis of Option Positions
• Delta, Gamma, Vega, Theta, Rho
• Delta hedging and risk analysis
- dynamic risk management using Delta
- Delta hedging an option portfolio
• Gamma; second order option price
sensitivity
• Understanding Gamma; Gamma
characteristics of in-, at- and
out-of-the-money options
• Limitations of Delta hedging
- Gamma effects
- construction of robust hedges
- immunisation of risk using Gamma
hedging
• Gamma trading - real volatility trading
• Theta; option price time decay
• Interrelationships between option price
sensitivities
- the Theta-Gamma trade-off
• Active management of portfolio delta,
Gamma and Vega risks.
Workshop
Running a Portfolio of Options - Delta
Hedging; Vega Trading Dynamic Delta
hedging of portfolio of options; Analysis of
simple volatility trading strategy
Interest Rate Options
• The OTC interest rate options market
• IRGs, caps and floors
• Swap options and bond options
• Collars; participating caps; Corridors
• Pricing and hedging caps and floors
- interest rate option pricing models
- volatility term structures
- cap/floor-swap parity
- delta hedging caps and floors
• Practical applications of interest rate
options
- asset and liability risk management
- volatility trading; enhancing
portfolio returns
• Embedded caps and floors; Reverse FRNs
• Extendable and cancellable swaps
• Callable and putable bonds
Workshop
Pricing interest caps, floors and collars and
their applications in risk management
Currency, Equity and Commodity Options
• Currency options - Garman-
Kohlhagen pricing
• Market conventions, terminology, quotation
• Applications in currency risk management
• Simple trading and hedging strategies
• Embedded options e.g. dual
currency bonds
• Equity and equity index options; warrants
• Applications in trading; portfolio
management
• Synthetic equity investments
• Commodity options - Zero cost
collars and participating forwards
Exotic Options
• Applications across equity, interest rate,
commodity and FX markets
• Motivations and applications of
exotic options
- trading strategies; leverage
- hedging corporate exposures
• Digital (binary) options
- pricing and risk management
- applications
• Barrier (knock-in and knock-out options)
- pricing using numerical techniques
• Asian (average rate/price) options
- pricing and hedging average rate options
• Multi-asset exotic options
- basket; spread and rainbow
Embedded Option Structures
• Structured notes; securities with
embedded option features
• Use and applications of
embedded derivatives
• Rationale for borrowers and
investors
- yield enhancement
- range notes - speculating on volatility
- guaranteeing and enhancing returns
• Financial engineering; analysing
structured debt
• Analysis of a range of structured notes
- range FRNs (FX and LIBOR based)
- commodity (and other asset)
linked notes
- capital guarantee equity
linked structures
- PERCs, ELKs and DECs
Case Study
Examples of structured products; reverse
engineering and analysis
☎ Booking Hotline
+44 (0) 20 7915 5602
www.iff-training.com 7

“The course was interesting
and relevant to my job. The
course leader is very good at
explaining the subject matter
and motivating the participants”
A.M., Edison Trading
Course Dates
27-29 September 2004
9-11 March 2005
Course Highlights
Covering the theory and
applications of a broad
spectrum of exotic options
and advanced products,
you will learn how to
identify situations where a
specific exotic option
should be used; develop a
pricing methodology with
and without Black-Scholes
assumptions; estimate
volatility and correlation and
assess their impact on
using exotics; recognise the
potential benefits and risks
inherent in using each
product; break down
structured notes into their
component parts, and
implement best practice
hedging and trading
strategies.
☎
Booking Hotline
+44 (0) 20 7915 5602
8 www.iff-training.com
Exotic Options
Understand the intricacies of exotic options and learn exactly how
to use them in practice
A Primer on Option Valuation Techniques
Developing a pricing methodology - An
introduction to option pricing theory
• Numerical methods: (Binomial, Trinomial)
Lattice models
• ‘Arbitrage-free’ derivation of binomial option
pricing model
• Modelling Path dependent option pay-offs
• The Black-Scholes approach
• Geometric Brownian motion – description of
the stochastic price process
• Boundary conditions in option valuation
• Advantages and shortcomings of Black-
Scholes
• Assumptions and model inadequacies
• Monte Carlo simulation
Workshop: Implementation of binomial
pricing model: Application to European and
Path dependent (American) options
Volatility Analysis
In this session, we evaluate the Black Scholes
assumptions and consider volatility estimation
methods
• Critical analysis of the Black-Scholes model
• Rationalising distortions to the Black-
Scholes model framework
• Non-continuous hedging
• Volatility smiles, skews and volatility surfaces
• Kurtosis
• Leverage, Change in Greeks resulting
from large standard deviation moves in
underlying
• Computing volatility: analysis of data
samples; sample sizes; weighting sample
data
• Forecasting volatility: GARCH™ techniques
• Stochastic volatility
• Volatility term structure effects
• Mean reversion
Option Risk Characteristics
Overview of option risk sensitivities and how
they are harnessed in trading strategies
• Option price sensitivities – the "Greeks"
(Delta, gamma, vega, theta, rho)
• Delta hedging
• Gamma and Vega trading – volatility trading
• Interrelationships between option price
sensitivities
• Higher order greeks
• Vega convexity
• Active management of portfolio delta,
gamma and vega risks
• Assumptions and inadequacies of Vanilla
option hedging
• Examination of theoretical hedging
assumptions – impact on pricing
• Put-Call parity
• Arbitrage trading: Conversions and
Reversals; synthetic forwards and options
• Trading strategies using options
• Risk Reversals
• Spreads
- Calendar trading
- Exploiting risk sensitivities as a function
of time
• Straddles, Strangles and Butterflies
The Mechanics of Exotic Options
• Exotic Option classification
• Pay-off structure
• Path dependency (strong and weak)
• Exercise timing
• Order
• Decision dependency
• Multivariate dependencies
• Motivations and applications of exotic
options
• Vanilla options and their limitations
• Customised and complex pay-off
structures
• Flexibility
• Risk management applications; managing
corporate exposures
• Cost comparison (Exotics versus vanilla
alternatives)
• End user (corporate treasury, fund
manager) sophistication
• When are simple option strategies
optimal ?
Path Dependent Options - Barrier Options
These options become activated/extinguished
when an underlying price crosses a barrier
• Overview of types (knock-ins and knock-
outs; single and double barriers)
• Pricing and valuation of Barrier options
• Numerical (tree) methods of Barrier
option pricing
• Pricing double barrier options and other
variants
• Impact of varying barrier parameters on
performance, cost
• Barrier level
• Monitoring frequency
• Volatility term structure shape
• Pricing using volatility surface
• Hedging Barrier options
• Risk sensitivities and their characteristics
• OTM Barriers
• Replication/Hedging
• Change in Greeks through Time
• ITM Barriers
• Replication/Arbitrage bounds
• Change in Greeks through Time
• Double Barriers
• Higher order sensitivities
• Applications of Barrier Options
• Trading and hedging applications
(practical examples and term sheets)
• Rationale for barrier options – when to
use and when not to use barrier options
• Variations of Barrier Options
• Rebate
• Parisian Options
Workshop: Barrier Options Workshop
Path Dependent Options - Average Rate
Options
Asian options - The payoff of the option is
determined by the average price
• AROs (Average Rate Options) and ASOs
(Average Strike Options)
• Mechanics of average rate options
• Geometric vs. Arithmetic averages
• Pricing of the Asian options:
• Continuous averaging and discrete
averaging
• Partial averaging; weighted and
unweighted samples
• Analytical models
• Numerical solutions
• Hedging Asian options
• Risk sensitivities
• Dynamic replication using Vanilla options
• Practical Applications of Asian Options
• Hedging corporate exposures with Asian
options
• Practical examples of the motivations
and rationale for the use of Asian
options
• Asian Tails; Embedded Asian options –
e.g. Structured equity linked bonds
Workshop: Asian Options Workshop
Path Dependent Options
Lookbacks, Ladders and Ratchet (Cliquet)
Options
• Definitions
• Pay-off types
• Fixed and floating strike
• Discrete and continuous sampling of
maximum/minimum
• Pricing and valuation issues
• Numerical (tree) methods
• Motivations for use – applications and
examples
Digital (Binary) Options
Digital options - The pay-off of the option is
discontinuous
• CASH or NOTHING Calls/Puts
• ASSET or NOTHING Calls/Puts
• Pricing of digital options
• Adapting the Black-Scholes analytical
approach
• Hedging and risk management of digital
options
• Delta hedging; Risk Management
Problems
• Gamma, Vega, Theta behaviour
• Replication using Call spreads
• Inadequacies of Black-Scholes theory in
practice
• Applications of digital options
• Trading applications – motivations for
using digital options
• ‘Range’ structured notes
• Digital caps and floors
• Term sheet examples
• Contingent Premium Options
• Pricing methodology
• Applications – rationale for use in
hedging and trading
• Comparison to Vanilla options
Quanto (Quantity Adjusted) Options
Quantity adjusted options – Pay-off of
underlying asset is paid in different currency
• Quanto derivatives
• Pricing quanto derivatives
• Replication approach
• Analytical approach
• Pricing parameters – correlation and
volatility inputs
• Hedging quanto derivatives
• Correlation risk
• Applications of Quanto options
• Foreign Equity/Domestic Currency
Options
• Equity-linked FX Options
• Structured notes with quantoed pay-offs
Rainbow (Multi-Asset) Options
• Rainbow options
• Basket options
• Spread options
• Outperformance options
• "Best of", "Worst of" options
• Pricing methodologies
• Single factor and multi-factor approaches
• Correlation effects
• Theoretical difficulties with modeling
underlying
• Impact of basket parameters (volatility,
correlation) on pricing
• Hedging rainbow options
• Management of Greeks
• Applications – Portfolio management
examples
• Diversification
• Hedging; Dynamic asset allocation
• Structured notes
• Comparison to vanilla option alternatives
Embedded Exotic Option Structures
The application of exotics to the creation of
structured notes analysed with the aid of
numerous examples and real-life term sheets
• Use and applications of embedded
derivatives
• Rationale for issuers and investors
• Yield enhancement – creating new asset
structures
• Guaranteed returns; principal protection
• Risks of structured debt instruments:
• Market risks
• Counterparty risk
• Other risks (e.g. reputational risk;
suitability)
• Financial engineering; creating and
analysing structured debt
• Analysis of a range of structured notes:
• Range FRNs (FX and LIBOR based)
• Capital guarantee Index linked bonds
☎ Booking Hotline
+44 (0) 20 7915 5602
www.iff-training.com
www.iff-training.com 9
7

Brand New Course
Course Dates
1-3 December 2004
24-26 May 2005
Course Highlights
This unique training
programme will explore the
full potential of credit
derivatives in practice. You
will learn practical pricing
and valuation techniques,
risk management
techniques, trading
strategies and regulatory
issues. The emphasis of this
course is on equipping you
with practical knowledge
that you can apply in
practice every day.
☎ Booking Hotline
+44 (0) 20 7915 5602
10 www.iff-training.com
Mastering Credit Derivatives
A comprehensive and practical guide to the current credit
derivatives market
Introduction and Market Overview Current Regulatory Position
• Size and shape of the market • Overview of current regulatory treatment of
• Product integration credit derivatives
• Current market practice • Likely impact of Basel II on the credit
derivatives market
Current Market Developments
• Structural changes in the credit derivatives Deal Implementation and Market Challenges
market • Analysis of getting a deal done
• Single name vs. correlation trading • The marketing and approval process
• Current challenges facing the market • Role of credit, legal, compliance and
operations
Credit Derivative Products • Current challenges facing the market
• The workings of a credit default swap
• Structuring issues - documentation Case Studies
• Other single-name products (CLN, TRS) Delegates will perform group exercises on
the following topics:
Complex Credit Derivative Products and • funding considerations
Strategies • risk reduction
• Portfolio products – nth loss and nth to • hedging strategies
default • delivery issues
• CDOs and Synthetic CDOs • sales and deal execution considerations
• Credit spread options and index products • legal
• Capital structure arbitrage • credit linked notes
• structuring
• regulation
Practical Applications
• Review of user rationale: line, risk, capital
and balance sheet management, and Accounting Issues
discussion of investor benefits • IAS and U.S. GAAP
• Transaction examples for different user • Consolidation of Special Purpose Vehicles
groups (bank, insurance company,
corporate, funds)
Operational Issues
• Typical operational challenges
Introduction to Credit Risk • Project RED
• Ratings based pricing methods • DTCC and Swapswire initiatives
• Benchmarking review of market participants
Pricing Credit Default Swaps
• Basic method of pricing credit derivatives Credit Derivative Resources
• Market standard unwind calculation • Where to find information on credit
• Pricing of credit derivatives vs. assets derivatives
swaps – understanding the basis • legal developments and standard
documentation
Credit Derivative Pricing Models • data
• Hazard rates • prices
• Integral method of pricing credit derivatives • regulatory capital guidelines
• Merton method of pricing credit risk • books and periodicals
Introduction to Models for Complex Products
• Nth Loss and nth to default
• Synthetic CDOs
• Credit spread options
• Capital structure arbitrage
Fundamentals of Swaps
A comprehensive and practical guide to the mechanics of pricing
and trading swaps

Overview of the swaps markets
• Introduction to the OTC market
• Development of the swap market
• Identifying key players, their roles and
motivations
• Understanding the basic definitions and
jargon
Identifying and analysing main swap
instruments
• Definitions of a generic swap
• Examining the structure of generic and
- simple non-generic swaps
- interest rate swap
- currency swap
- coupon swap
- basis swap
- equity swap
- commodity swap
- asset and liability swap
- money market and term swap
Uses and applications of swaps
• Trading
• Risk management: taking risk or hedging
risk
• Arbitrage
• Speculation
• Cash flow and treasury management
• Asset and liability management
Workshop: Simple swap strategies
• Issuing / buying fixed and converting to
floating
• Issuing / buying floating and converting to
fixed
• Issuing / buying in one currency and
converting to another
Understanding basic swap mathematics
• Interest rate quotations
• Interest rate calculation
• Present and future values
• Introduction to discounted cash flow
• Discount factors
• Using maturity rates
• Calculating yields
• Calculating par, zero and forward rates
• Zero coupon discount factors
Workshop: Bootstrapping
This session will bring together the concepts
underlying the mathematics of swaps
Cross currency swaps pricing and valuation “The trainer was very good.
• Cross-currency basis swaps Very clear and logical
• Pricing short-term forward exchange swaps
• Pricing long-term currency swaps explanations throughout.
This course is a success due
Examining the structures and uses of non-
generic swaps to the quality of teaching”
• Rollercoasters K.L., WestLB AG
• Forward starts
• Yield curve swaps
Workshop: Swap structuring and pricing Course Dates
This session will give delegates the 22-23 November 2004
opportunity to structure and price a variety
of swaps 4-5 April 2005
Commodity-linked swaps
• Types of swap
• Examples of the uses of commodity-linked
swaps
• Pricing commodity-linked swaps
Course Highlights
Equity swaps
This training course will
• Types of swap
• Examples of the uses of equity-linked provide you with a
swaps
• Pricing equity-linked swaps
comprehensive and
practical guide to the
Credit-linked swaps
mechanics of pricing and
• Types of swap
• Examples of the uses of credit-linked trading generic and simple
swaps
• Pricing credit-linked swaps
non-generic swaps. This
programme is essential for
Introduction to swaps risk management
anyone who needs to
• Identifying risks associated with swaps
- interest rate risk understand the
- mismatch risk
development of the swaps
- basis risk
- counterparty credit risk market, its current size and
- cost of capital considerations
key players; the uses and
• Introducing swaps portfolios risk
management approaches applications of swap
- bucketing
- hedging on a price sensitivity basis
products as well as swap
- the Delta vector method portfolio risk management,
- Value-at-Risk
- integrating market risks
capital requirements and
- choosing hedging instruments to suit regulatory issues.
portfolio needs
Workshop: Identifying and managing swap
risks

Practical introduction to swaps pricing Regulatory issues

• Swap quotations • Deal confirmation
• Market making • Cancellation
• Warehousing a swap • Assignment
• Marking to market • Netting and insolvency
• Calculating risk capital requirements
Interest rate swaps pricing and valuation
• Calculating credit and interest rate risk for
• Discounted cash flow methodology
• Zero coupon yield approach Basel
• Cash arbitrage techniques

☎
• Floating leg valuation
• Unwinding swap method of valuation
Booking Hotline
+44 (0) 20 7915 5602
www.iff-training.com 11

“The course was well
tailored to my needs”
A.R., Autoliv A.B.
Course Dates
24-26 November 2004
6-8 April 2005
Course Highlights
This training course offers a
forum for examination of
advanced aspects of swaps
– focusing on non-generic
and exotic swap products –
terminology and
conventions, pricing
methodologies and product
applications. This
programme is suited to
delegates who have
previously attended our
‘Fundamentals of Swaps’
course, or who have a
thorough basic knowledge
of swaps markets and
financial mathematics
☎
Booking Hotline
+44 (0) 20 7915 5602
12 12 www.iff-training.com
Advanced Swaps
State of the art strategies for pricing, hedging and trading generic
and non-generic swaps
Pricing and Valuation of Interest Rate Swaps
• Discounted cash flow (DCF) methodology
• Zero coupon yield approach - a
rationalisation
• Modelling the yield curve: deterministic and
stochastic term structure models
• Practical challenges in deriving benchmark
curves
• Interpolation and curve fitting and
smoothing techniques
• Parametric and non-parametric yield curves
• Stochastic term structure models (e.g. BDT,
Vasicek, Hull-White)
• Convexity adjustments
• Yield curve construction using par swap
rates and bond yields
• Pricing and valuation using implied forward
rate data
Case Study: Building a LIBOR term structure
model - pricing and valuation of generic
swaps
Applications of Swaps in Debt (Liability)
Management
• Creating ‘synthetic’ liabilities
• Credit risk arbitrage – identifying and
realising comparative advantages
• Understanding the relationship between
swap and new issue debt markets – what
drives the new issue marketplace ?
• Derivatives ‘Overlay’ strategies – tactical
applications of swaps in debt portfolio
duration management
Case Study: Reverse engineering of a swap
driven new issue - pricing and analysis
Applications of Swaps in Asset Management
– Asset re-packaging
• Mechanics of pricing and structuring asset
swaps
• Investor rationale
• Arbitrage – exploiting pricing discrepancies
• Credit diversification
• Structured product Asset swaps
(Convertibles, Reverse FRNs, option
embedded bonds)
• Asset swaps and the interrelationship
between swap and bond markets
• Fixed income analysis – Using Asset Swap
spreads in Relative value analysis
Case Study: Structuring and pricing asset
swap transactions
Non-Generic Swaps – Structuring, Pricing &
Applications
• 1st Generation non-generic swap types:
• Forward start swaps - structures and
pricing
• Amortising and Rollercoaster swaps
• Deferred coupon, stepped coupon and zero
coupon swaps
• Applications to asset and liability
management and trading strategies
Pricing and Valuation of Cross Currency
Swaps
• Generic and non-generic cross currency
swaps
• Cross currency coupon swaps
• LTFX
• Pricing and valuation of cross-currency
basis swaps
• Accounting for basis swaps
• Basis point conversion factors; PVBP
conversion matrix
• Calculation and applications
Case Study: structuring, pricing and hedging
a cross currency swap transaction
Exotic swaps
• Constant Maturity Swaps (CMS) and
Constant Maturity Treasury Swaps (CMT)
• Pricing and valuation of CMS, CMT swaps
• Optionality of CMS, CMT swaps
• Determination of convexity adjustment
• Stochastic term structure models
• Applications of Constant Maturity Swaps
- Yield curve exposure management
- CMS/CMT structured notes
• Trading and risk management
considerations
Arrears Swaps
• LIBOR-in-arrears swaps
• Pricing and valuation of arrears swaps
• Convexity bias in pricing arrears and other
mismatch structures
• Estimation of convexity adjustment
• Motivations of arrears swaps usage
CPI (Real Interest Rate) Swaps
• Construction: basic mechanics and
parameters of operation
• Pricing and valuation of Inflation Swaps
• Applications of Inflation Swaps: Trading and
risk management
Differential (Quanto) Swaps
• Structures and applications
• Pricing and valuation
• Volatility and Correlation effects
• Risk management of quanto structures
Option Embedded Swaps
• Extendible and cancellable swaps (callable
and putable swaps)
• Index Amortising Swaps
• European and Bermudan structures
• Pricing and valuation techniques
• Applications
• Structured (callable, putable) bonds; call
monetisation
• Asset packaging; re-structuring structured
debt
Accrual Swaps
• Digital (Binary) options
• Pricing of digital options
• Risk management of digital options:
replication and hedging
• Applications:
• ‘Range’ structured notes
• Digital interest rate caps and floors
Interest Rate Options
• Interest rate caps and floors
• Interest rate Collars/Range forwards/Zero
cost collars/Partial swaps/Switchable
swaps
• Swap options
• European and Bermudan style swap
options
• Barrier option structures: Chooser options
• Corporate applications of interest rate
options
• Embedded option structures
Swap Portfolio Risk Management
• Interest rate risk measures
• Duration, PVBP
• Delta vector analysis
• Option risk sensitivities (Delta, Gamma,
Vega, Theta)
• Considering fixed and floating legs
• Cross-currency swaps – portfolio
management
• Transaction based and portfolio based
approaches to risk management
• Swap portfolio representation
• Cash flow ‘bucketing’: theoretical and
empirical techniques
• Dynamic considerations in portfolio
management methodologies
• Measuring sensitivity to par rates, zero
coupon rates, forward rates and futures
• Using short term and long term (bond)
futures to risk manage swap portfolios
• Advantages and shortcomings of the use of
futures
Case study: Using Delta vector analysis to
measure and manage swap portfolio risk
Using Value-at-Risk to measure and manage
the risks of complex swaps portfolios
• Introduction to VaR
• VaR calculation methods
• The delta-normal method (RiskMetrics)
• Linear and non-linear instruments
• The delta-gamma approximation
• Estimation of volatility and Correlation
• Forecasting methods (Outline of ARCH,
GARCH techniques)
• VaR applications:
- market risk management: Firm-wide and
trader risk limits
- setting VaR limits
- strengths and weaknesses of VaR
methodologies
Trading Strategies Using Interest Rate and
Currency Swaps
• Interest rate swaps as a substitute for fixed
income bond investment
• Basis trading: swap spread trading
• Credit spread trading - asset swap spreads
• Benchmarking: Using the swaps yield curve
in relative value analysis
• Yield curve arbitrage strategies:
- delta neutral yield curve trading
- forward swap yield curve arbitrage
trading
- relative value and directional trading
strategies
Financial Engineering – Structured Products
and Embedded Derivatives
• Elements of financial engineering
• Creation and analysis of structured
products
• Decomposition of structured bonds and
derivatives into component transactions
• The rationale for structured products:
investor and borrower strategies
• Application of interest rate swaps and
options in financial engineering
Case Study: Reverse engineering of
structured debt products
Delegates will have the opportunity of
analysing a variety of structured debt
products – decomposing them into their
constituent risk elements, evaluating pricing
and hedge requirements, as well as designing
and pricing structured products to meet
investor specified risk objectives.
☎
Booking Hotline
+44 (0) 20 7915 5602
www.iff-training.com 13

Brand New Course
Course Dates
13-17 September 2004
14-18 March 2005
Course Highlights
This is a residential training
course specially
constructed to provide
derivatives professionals
with an unrivalled
understanding of the
mechanics and techniques
essential for success in
today’s volatile
marketplace. Over five
intensive days, you will
benefit from in-depth
market focused tuition
designed to optimise your
skills and increase your
effectiveness within all
aspect of derivatives.
☎
Booking Hotline
+44 (0) 20 7915 5602
14 www.iff-training.com
School of Derivatives
A fully comprehensive course on a wide range of derivative
products
Introduction to Derivative Instruments
• Linear and non-linear derivatives
• Outright (forwards, futures and swaps) and
option derivatives
• OTC vs exchange traded derivatives
• Documentation and legal issues
• Applications of derivatives: risk transfer
• Applications in trading, hedging and
arbitrage
Linear Derivatives: Forward and Futures
Markets
• Forward and futures contracts
• The mechanics of futures contracts and
futures markets
• The role of the clearing house
• Margining: definition and operation
• Credit risk and futures contracts
• Interest rate forward contracts and futures
• Forward Rate Agreements (FRAs)
• Forward foreign exchange
• Equity
Case Study: Pricing and valuation of forward
contracts - Application to exposure
management
Interest Rate and Currency Swaps
• Generic swap structures
• Generic and non-generic swaps
• Cross-currency swaps
• Swaps market conventions and practices
Pricing and Valuation of Interest Rate Swaps
• Basic foundations of swap valuation - nil
value of par swaps
• Discounted cash flow (DCF) methodology
• Estimation of zero coupon discount factors
from market based data
• Valuation techniques
• Practical pricing and valuation applications
Pricing and Valuation of Cross Currency
Swaps
• Principles of valuation: cross currency swap
as synthetic bond equivalents
• Effect of principal exchanges on valuation
• Pricing and valuation of cross-currency
basis swaps
• Accounting for basis swaps - yield curve
modification
• Basis point conversion factors
• Calculation and applications
Case Study: Structuring and valuation of
non-generic swaps
Swap Risks – Interest Rate Risk
• Measurement of swap risks
• PV01, Delta
• Delta vector analysis
• Transaction based and portfolio based
approaches to risk management
• Swap portfolio management; creating a
‘replicating’ equivalent portfolio
• Measuring sensitivity to par rates, zero
coupon rates, forward rates and futures
• Value at Risk (VaR) as a quantitative
measurement of portfolio risk
Case Study: Risk analysis of swap portfolio -
Delta risk measurement and replicating
portfolio construction.
Equity Swaps
• Total return swaps
• Dividend income: fixed versus floating
• Stock borrowing impact
• Pricing principles
• Applications of equity swaps
• Arbitrage based strategies
• Synthetic index fund management
• Synthetic short exposure
• Comparison: swaps vs futures vs. ETFs
Swaps – Counterparty Credit Risk Exposure
• Current and potential future exposure
• Measurement: techniques for estimation of
PFE
• Implications for pricing interest rate and
currency swaps
• Credit risk mitigation
Understanding Option Valuation - Option
Pricing Models
• Intuitive approach to understanding option
valuation and value drivers
• Option pricing models
- the binomial lattice model
- the Black-Scholes option pricing model
- practical applications to pricing of equity,
FX and interest rate options
- advantages and shortcomings of Black-
Scholes – a critical analysis
- simulation methods of option valuation –
Monte Carlo methods
• Volatility estimation
Option Risks
• Dynamic risk characteristics of options
• The Greeks (Delta, Gamma, Theta, Vega,
Rho and Phi risks)
• Interpretation of Delta - cash equivalent risk
representation
• Delta hedging
• Market impact of Delta hedging
• Why Delta hedge – a brief overview of
volatility risks (Gamma, Vega)
• Carry related risks (Rho, Phi)
Interest Rate, Currency, Equity and
Commodity Options
• Caps, floors and swap options
• Pricing techniques: term structure models
• Cap/floor market conventions, terminology,
price quotation basis
• European and American style swap options
• Swap option market conventions,
terminology, price quotation basis
• Pricing simple currency FX options
• Puts, calls, range forwards
• Pricing equity and equity index options;
warrants
• Applications in trading, investment and
portfolio management
• Commodity options - zero cost collars and
participating forwards
Hedging and Trading Strategies Using Options
• Risk-reward profiles of naked option
strategies
• Put-call parity
• Hedging and arbitrage strategies using
options
• Creating trading and hedging strategies
using options
• Volatility and analysis of trading strategies
Case Study: Analysis of option trading and
hedging strategies
Interest Rate and Currency Derivatives -
Funding, Risk Management and Trading
Applications
• Applications of interest rate derivatives to
client risk management strategies
• Applications of swaps and options in
liability management
• Applications of swaps and options in asset
management
• Exposure management - identifying client
risk profiles
• Comparative analysis of risk management
strategies
• Trading Strategies using interest rate
derivatives
- interest rate swaps as a substitute for
fixed income bond trading
- option trading strategies
- directional trading strategies
- premium generation (yield enhancement)
strategies
Case Study: Pricing a new bond issue
structured with a currency swap
Case Study: Structuring an asset swap
Equity Derivative Strategies
• Applications of equity derivatives in trading
and portfolio management
• Using futures and equity swaps in tactical
asset allocation
• Trading and investment strategies using
equity options
• Portfolio insurance: (OBPI) and (CPPI)
• Yield enhancement and risk reduction
strategies
• Directional trading strategies
• Option spreads
• Equity derivative strategies to enhance
absolute and benchmark relative
performance
Case Study: Analysis of yield enhancement
strategies
Credit Derivatives The IFF School of
• Components of credit risk
• Credit default swaps Derivatives
• Pricing and valuation of credit derivatives
Fixed Income, Interest Rate Stuctures and BENEFIT FROM 1-TO-1
Their Applications COACHING
Exercise: Pricing extendible and cancelable
swaps
This unique training
• Equity linked structures and their
applications programme will provide you
• Overview of equity derivative applications with the opportunity to
• "Capital Guaranteed" equity index linked
products receive 1-to-1 training from
• Exactly what is guaranteed? Beware the our expert faculty. You will
small print!
receive a questionnaire in
• How is it done?
• What does it cost? advance of the course
• Is the guarantee necessary? What are the where you are asked to
alternatives?
outline any specific areas or
• Comparison of structured products vs."cash"
topics where you would like
• Leverage / participation / gearing vs.
protection
to receive personal
• Analysis of index returns over various
holding periods coaching.
Exercise: Delegates will construct and
repeatedly refine an equity index linked Upon receipt of your
capital guaranteed product, working within
the constraints of realistically varying
questionnaire we will
customer demands and market conditions structure your requirements
Exercise: Delegates will deconstruct a into the course material and
Building Society transaction
schedule a time for you to
Exercise: Delegates will deconstruct an
Insurance Co. transaction receive your coaching.
Exercise: Delegates will deconstruct a CAC40
transaction with unusual features For more information,
Exercise: Delegates will explore a range of
products currently on the market please call us on
+44 (0) 20 7915 5602
Derivative "Alchemy"
• How can derivatives be used to transform
e.g. premium into coupon? "Maximum
coupon" swaps etc.
Exercise: Transform "option premium" into
"interest rate" - Delegates will explore
interest-free loan/deposit structures from
the world of Islamic banking
FX-Linked Applications
• Embedded currency options / loans that
can be converted from one currency to
another
Exercise: Delegates will examine an
enhanced coupon deposit, exploring coupon
and capital risk issues
Commodity-Linked Applications
• Overview of commodity-linked applications
☎
Exercise: Delegates will explore a bond
whose payoff is linked to the performance of Booking Hotline
oil, working within the constraints of
customer demands and market conditions +44 (0) 20 7915 5602
www.iff-training.com 15

“Small group, professional
guidance, everything was
very well organised”
T.V., Fortis Bank
Course Dates
19-23 July 2004
22-26 November 2004
Course Highlights
This is a residential training
course specially constructed
to provide capital markets
professionals with an
unrivalled understanding of
the mechanics and
techniques essential for
success in today’s volatile
marketplace. Over five
intensive days, you will
benefit from in-depth market
focused tuition designed to
optimise your skills and
increase your effectiveness
within all aspect of capital
markets.
☎ Booking Hotline
+44 (0) 20 7915 5602
16 www.iff-training.com
School of International
Capital Markets
A complete working guide to the mechanics and practicalities of
the international capital markets
Issuers – Getting to Grips with Finance and
Leverage
• Governments, agencies, municipalities,
supranationals, financial institutions,
corporations
Investors – Asset Allocation and Benchmarks
• Pension funds, fund managers, insurance
companies, hedge funds, money managers,
central banks, commercial banks
The Role of Commercial Banks
• Spreads, commissions and fees
• Credit pricing models
• Probability of default, exposure at default
and loss given default
The Role of Investment Banks
• Market-making, trading, broking, custody,
prime brokerage, operations
The Role of Regulatory Bodies – Risk
Management
• Front office, middle office and back office/
operations perspectives
Exercise: Analysing a simple structured
product from the perspectives of issuer,
arranger and investors
Case Study: A comparison of the structure
and activities of major investment banks
Demystifying the Core Principles
• Economic theory
• Generic pricing principles in practice
• Efficient markets hypothesis
• Discounted cash flow
• The approximate and precise value of a
trade
• Long and short positions
Understanding Capital Markets Research and
Analysis
• Fundamental and technical analysis
• Weak and strong random walks through the
markets
• Index tracking
• Absolute returns and benchmarks
Getting to Grips with the Core Products
• Equity, bonds, notes and bill, convertibles,
loans, CDs and CP, structured products
EQUITY CAPITAL MARKETS
Primary and Secondary Trading
• Bookbuilding
• Block trades/bought deals
• Fixed price – underwritten and best efforts
• Auctions/tenders
Case Study: VA Linux
• Market making
• Structure of the books
• Hedging and liquidity
Case Study: Vivendi
Capital Market Sales
• Client coverage
• Institutional and retail sales
Case Study: Lastminute.com
The Rationale for Structuring
• Investor demand and market conditions
• Regulatory constraints
• Institutional and private clients’ requirements
Case Study: Capital protected/equity
upside note
Floating Rate Finance in the Syndicated Loan
Market
• Origination and distribution
• Pricing
• League tables
• Reciprocity
• Frequent borrower desks
• Return on equity
• Documentation
• Secondary market and the SLMA
• Rate setting and settlement
Group Exercise: articipants will summarise,
through group discussion, the advantages
and disadvantages of the syndicated loan
market from the perspective of the lending
banks.
Floating Rate Note Issues
• Origination and sales
• Pricing
• Bank credit
• Return on equity
• Secondary markets and the market makers
Group Exercise: Participants will examine
the roles of originators pitching for a
mandate for a new issue to an existing FRN
issuer, highlighting the importance of the
pricing mechanism.
Fixed Rate Bond Issues
• Origination and sales
• Pricing
• Institutional investors
• Secondary markets and the market makers
• Settling the trade – DVP
• Clearing houses
The Mechanics of Bond Pricing
• Theoretical relationship between bond and
equity prices
• Approximating bond prices from coupons
and yields
• Approximating yields from coupons and
prices
• Relationship between yields and recovery rates
Exercise: Participants will approximate
bond prices and yields in order to
demonstrate their understanding of the
price/yield and credit spread/recovery rate
relationships
Understanding the Yield Curve
• Using the yield to maturity and spot curves
• Forward curves
• Constructing a zero coupon curve
• Discount factors
• Calculating forward prices
• Relative position of the forward curve
• Forwards and expectations
• Bond market arbitrage
Case Study: Cash and carry
arbitrage/covered interest arbitrage and the
money and FX markets
Benchmarking
• Shorting the government market
• Identifying the credit spread
• Liquidity issues
Fixed Income Credit Pricing
• Comparables
• Financials
• Sector analysis
• Investor demand
• Ratings
• Bond prices and yields
• Sensitivity and duration
Group exercise: Participants will examine
the role of the bookrunner and the swap
counterparty in a fixed rate bond issue
The Swaps Market
• Hedging
• Risk management and trading
• Capital adequacy
Exercise: Calculating investor returns
How Swaps Work in Practice
• Risk
• Identifying cash flows
• The first leg of a swap
• The second leg of a swap
• Funding differentials and credit arbitrage
• Origination and liability swaps
• Asset swaps and institutional sales
Swap Market Quotations and Calculations
• Discounted cash flow
• Bond pricing and swap pricing
• Using maturity rates
• Using forwards and zeros
• Money, swap and bond market conventions
Case Study: Valuing bond & swap cash flows
Market Making, Trading and Structuring Swaps
• Using currency swaps
• How basis swaps work
• Matching cash flows
• Creating par/par structures
• Unwinding, terminating and assigning
swaps
• Mark-to-market techniques
Case Study: Marking swaps to market
Getting to Grips with Options
• Call and put options
• Trading strategies
• Intrinsic value and time value
Exercise: Option pricing
Case study: Pricing and hedging callable
bonds
Exercise: Valuing interest rate options
Case study: Long/short gamma analysis
Asset and Liability Management
• Changing an investor’s portfolio mix
• Managing a multi-currency debt portfolio
Case Study: Using options and swaps as a The IFF School of
borrower and as an investor
International Capital
Capital Markets Arbitrage Techniques
• Credit pricing
Markets
• Credit pricing in the loans and bond
markets
• New issue arbitrage
BENEFIT FROM 1-TO-1
• Frequent borrower desks revisited COACHING
• Borrowers targets
• Cross market origination
Group Exercise: Participants will examine the
This unique training
opportunities offered to the large borrowers
and their investment bankers by the programme will provide you
existence of credit arbitrage with the opportunity to
AN INTRODUCTION TO CREDIT DERIVATIVES receive 1-to-1 training from
Credit Pricing our expert faculty. You will
• Default probability
receive a questionnaire in
• Recovery rates (bonds and loans)
advance of the course
Credit Default Swaps and Options
• Credit events where you are asked to
• The language of default outline any specific areas or
• Basis risk
• Materiality topics where you would like
to receive personal
Total Rate of Return Swaps
• Funding Arbitrage coaching.
• Leverage
• Creating synthetic assets
Upon receipt of your
Credit Linked Notes
• Credit default linked notes questionnaire we will
• Credit sensitive notes
• Index linked notes
structure your requirements
• Collateralised Loan Obligations (CLOs) into the course material and
A Practical Guide to Securitisation schedule a time for you to
• Benefits to the issuer and investors
• Impact on bankers and bondholders
receive your coaching.
Case Study: Participants will examine the
securitisation of car loans, mortgages, bank For more information,
loans and music royalties
Compliance and Risk Management Issues
please call us on
• Market, credit, operational and interest rate risks +44 (0) 20 7915 5602
• Self-regulation - lessons from LTCM?
• Role of the regulators - lessons from Barings?
Capital Adequacy Implications
• Impact of leverage
• Basel I and Basel II
Getting to Grips with Hedge Funds
• Hedge fund regulations and structures
• The importance of leverage
• Long/short funds and convertible bond
arbitrage funds
Research and Analysis
• Structure of the fund management industry
• Role of analysts
• ‘Soft’ dollars
• Elliot Spitzer, Henry Blodget and Jack
Grubman
Venture Capital and Private Equity
• Evaluating business plans
☎
• Valuing businesses
• Financing structures Booking Hotline
• Business angels
• MBOs, MBIs and IBOs +44 (0) 20 7915 5602
www.iff-training.com 17

“Well communicated ideas
presented simply and
clearly”
S.R., ICI Plc
Course Dates
25-26 October 2004
11-12 April 2005
Course Highlights
This course represents a
unique opportunity to
receive intensive practical
training in the uses and
applications of structured
products. The programme
aims to dispel some of the
complexities surrounding
these structures and equip
you with the skills and
knowledge to be able to
design and implement
structured solutions to
complex financial problems
☎ Booking Hotline
+44 (0) 20 7915 5602
18 www.iff-training.com
Fundamentals of Structured
Products
Master the practicalities and applications of structured derivatives
Structured Products
• What are structured products?
• Who uses them, how and why?
• Transformation of risk and return
• What are the benefits to issuer
and investor?
• Assessing potential pitfalls
Interest Rate Structures
• Reverse floaters
• Embedded swaps and options
• Leveraged swap linked notes: bond payoff
linked to rates other than Libor
• Extendible swaps
• Cancellable swaps
• Embedded swaptions
Case study: Analysing a reverse floater with
embedded options
Case study: Corporate use of interest rate
options
Case study: Pricing a cancellable swap
Case study: Pricing a leveraged swap-linked
note
Case study: Derivative Transformations
delegates will transform “option premium”
into “interest rate” and vice versa
FX Structures
• Embedded FX options
• Enhanced coupons
• Re-denominateable loans
Case study: Delegates will price an
“enhanced coupon”, capital protected deposit
Case study: “Islamic Swaps”: delegates will
construct a zero coupon deposit structure
Case Study: Dual currency bonds
Equity Swaps
• Equity fund management objectives
- how swaps can help
• Using a swap structure with an
equity price “index”
• Detailed example of cash flows of an
equity swap
• Relationship to total return swaps and other
credit derivatives
More Equity Structures
• Capital Guaranteed bonds
- what is guaranteed?
- how is it done?
- what are the costs?
• Reverse convertibles
Case study: Delegates will analyse a variety
of equity-linked structures
Case study: High coupon versus principal
risk: short options
Commodity-Linked Structures
• Oil-linked notes
• Gold-linked notes
Case study: Delegates will construct an oil-
linked note
Credit Derivatives
• The issues driving credit derivatives
development
• Understanding the different product types
including:
- default swaps
- first to default baskets
- total return swaps
• How credit derivatives allow “pure” trading
of credit risk without affecting lending
relationships
Manufacturing Structured Financial Products
- What Are The Costs And Risks Involved?
• The Black-Scholes assumptions in the real
markets
• Replication - the crucible of new products
• The importance of optimal hedging for
controlling costs and risks
• Profit and loss attribution analysis
• Risk attitude: defining a balance
between costs and risks
• A simple dynamic delta hedging strategy
under known volatility conditions
• Evaluating the expected costs and
uncertainties of a delta strategy
• Optimisation of a delta rebalancing strategy
• When is gamma hedging economical
• Controlling volatility risks
Fundamentals of Global
Financial Markets
A three day, fully comprehensive course on the international
capital markets and instruments
The origins of the capital markets, the
institutions and the key players
• Background to the structure of the capital
markets
• The major financial centres
• The financial institutions:
- investment and commercial banks
- insurance and asset management
companies
- stockbrokers
• The role of the key players:
- issuers and borrowers
- investors
- intermediaries
• The financial advisory services:
- lawyers, accountants and venture
capitalists
• The regulatory framework - the FSA, SEC,
BIS and the European Central Banks
Underlying capital markets concepts
• Efficient markets
• Economic fundamentals
• Technical analysis
• Theory and practice of predicting price moves
Exercise: Calculating leverage ratios
An introduction to the different capital
markets products and instruments
• Analysis of different asset classes
• How different securities are issued and why
- Bonds
- Equities
- Derivatives
Exercise: Determining an asset allocation
mix for a given time horizon and risk profile
The bond and fixed income markets
• The origins of the market
• A definition of bonds - who uses the bond
markets and why
• Bonds vs other asset classes
• Asset allocation
• Types of ‘hybrid’ instruments - convertibles,
warrants and other structured products
Exercise: Calculating bond prices from yields
and yields from prices
The equity markets
• Definition of equities
• The structure of the equity markets
• Why companies and governments use the
equity markets
• Primary offerings vs secondary transactions
• Assessing company value: accounting
ratios, technical and fundamental analysis
• Issuing equities
• Debt vs equity
Case study: Pricing primary and secondary
issues
The money markets
• Definition of domestic and international
markets
• An overview of money markets products:
- Certificates of deposit
- Treasury bills
- Commercial paper
- Bankers acceptances
- Repos
• The role and purpose of the money markets
Exercise: Participants will compare a variety “Excellent course, well
of money market rates quoted in the
Financial Times delivered, covering both
theoretical and practical
The foreign exchange market
• The role of the Forex market issues”
• How they are used - the exchanges and
F.T., Ernst & Young
trading techniques
• Managing foreign exchange risk
• Relationships between the spot, forward
and interest rate markets
• Relationship with the money markets
Course Dates
Case study: Comparing the returns on
investments after taking currency overlay 20-22 October 2004
into account
9-11 May 2005
An introduction to derivatives
• The origin of the derivative markets, size
and location
• Why financial institutions and corporates
use them
• Key derivative instruments and products
Case study: The benefits of using derivatives Course Highlights
as an asset allocation tool
Interactive and case-study
The swaps market
• Definition of swaps based, this course provides
• Types of swaps: currency and interest rates delegates with a thorough
• Why swaps are used and by whom
• Pricing and trading swaps and effective introduction to
Case study: Using the swap market as an the global financial markets.
alternative to the bond market for the
creation of fixed rate liabilities
Designed to cover the wide
range of instruments and
The forwards and futures market
• The difference between futures and issues that exist in today’s
forwards
• The origins of the markets financial markets, the
• OTC vs exchange traded instruments course explains, without
• Types of futures and the role of the clearing
houses reference to complex
Case study: Comparing the costs and the mathematical calculations
benefits of hedging with FRAs, futures and
or modelling techniques,
swaps
exactly how the
The options market
• How options work in practice international capital markets
• The difference between exchange traded
and OTC options work. In just three days you
• Some basic options theories and will learn all about the key
methodologies
• Puts and calls institutions, the main
• Determinants of price players and the origins and
• Buying and writing options: how they are
used in risk management role of the different markets,
Case study: Managing risk products and financial
The credit markets instruments.
• Why they are used
• Determinants of credit pricing
• Fundamental credit analysis techniques -
sovereign and corporate securities
• An introduction to ratio analysis
• The role of the credit rating agencies
Case study: New issue arbitrage.
Understanding the relationship between bonds,
loans, asset swaps and credit derivatives
Future trends influencing the global
☎
financial markets
• The influence of the Euro Booking Hotline
• Growth of the corporate bond market
• European and US investment trends +44 (0) 20 7915 5602
www.iff-training.com 19

“The course leader has a
deep knowledge of the
subject matter and
excellent presentation skills”
E.M., GE Capital Bank
Course Dates
19-21 July 2004
13-15 December 2004
4-6 April 2005
Course Highlights
This course has been
designed to fully cover and
clearly explain the theory
and practice of risk
management at an
introductory level, with its
emphasis and focus on
understanding the
principles of risk
management and the more
complex tools used by the
experts. In particular, it will
cover different types of risk
such as credit, market and
operational; the main risk
measurement and
management tools; and key
criteria for implementing
effective risk controls,
procedures and regulatory
processes.
☎ Booking Hotline
+44 (0) 20 7915 5602
20 www.iff-training.com
Fundamentals of
Risk Management
Three days of intensive training on all aspects of risk management
An Introduction To Risk Management
• The risk management framework
• Overview of different types of risk
• Current trends and future issues
in risk management
Credit Risk Management
• Defining credit risk
- counterparty risk
- default risk
- settlement risk
• Evaluating netting agreements
• How collateral management can
help reduce credit risk
• Describing the credit rating process
• Credit spread analysis
• Measuring credit risk using VaR and
CreditMetrics
• Use of credit derivatives in risk
management
• Credit enhancement techniques
Market Risk Management
• Defining market risk
• Identifying market risk sensitivity
- liquidity
- volatility
- foreign exchange
- term structure
• Measuring and managing market risk using
various approaches to VaR and stress
testing
Operational Risk Management
• Defining operational risk
• Developing methodologies to monitor and
control operational risk
• Assessing the various approaches
to quantify operational risk
• Overcoming data limitation
when measuring operational risk
• How to integrate operational risk into the
organisation’s risk management framework
Analysing Other Types Of Risks
• Political and economic risk
• Legal risk
• Liquidity risk
• Accounting risk
• Tax risk
• Model risk
• Other risks
Risk Measurement Tools
• Explaining the most commonly used risk
measurement tools:
- Historical simulation
- Scenario analysis
- Variance, covariance and correlation
- Monte Carlo simulation
- RAPM
- VaR
- Duration and convexity
- Risk parameters - the Greeks
- Yield curve modelling
- Stress testing
- Other tools
• Understanding the basic maths behind
them
• Learning when each model should be used
Use Of Derivatives In Risk Management
• When and why to use derivatives
- options
- futures
- swaps
• Hedging using derivatives
Developing Risk Standards
• Does your board truly
understand its risks?
• Risk standards for investment managers
• Finding the right balance
between risk and reward for your
organisation
Identifying The Essential Criteria For
Implementing Risk Management Controls
And Procedures
• Identifying and solving
communication breakdown
between front and back office to
maximise risk control
Case study: Highlighting possible solutions
by assessing what others have successfully
done
The Legal Aspect
• Overview of new regulations:
- EU Capital Adequacy Directive
- BIS regulations (Capital Accord 1988,
Market Risk Amendment 1996)
- Basel II
Operational Risk
Gain a unique practical insight into mitigating, reducing and
avoiding enterprise-wide operational risk in financial institutions

Operational risk – What is it and why does reduction

it matter? • Overcoming resistance to change and “The course leader was very
establishing clear, straight-through knowldgeable and passionate
• Factors influencing the importance of
communication channels
operational risk about the topic. Superb!”
• Corporate governance
• Market consolidation and margin squeeze
• The complexity and sophistication of IT IDENTIFYING AND TACKLING LINE A.D., Old Mutual Asset Managers
systems MANAGEMENT ISSUES
• Regulatory and risk capital allocation • Assessing the level of senior management
pressures buy-in to operational risk solutions
• Hidden risks posed by complex financial • Understanding reporting lines and roles/
products responsibilities
• Improved communications and reliance • Implementing effective management control Course Dates
upon efficient IT systems and STP • Empowerment and staff control
Risks identified and defined
Case study: Illustrating and applying the
18-19 October 2004
• Fraud
• Systems and operations
potential risks and options for mitigating, 7-8 April 2005
• Communication reducing and avoiding catastrophic impact
• Documentation events in a merger environment
• Delivery and settlements - matching the ‘book’
WORKING THROUGH THE FRAMEWORK –
SPECIFIC RISKS 4 STAGE PROCESS
Technology Case Stage 1: Understanding how the new
• Systems failure operational risk environment might look Course Highlights
• Programming errors
• Telecoms • Covering the period after the offer This course will give
People announcement
• Using organisational charts and skills matrix participants a practical
• Incompetence • The importance of understanding the
• Fraud trading functions coverage insight into mitigating,
Process • Which offices responsible for which reducing and avoiding
functions?
• Execution error • Systems map and assessment enterprise-wide operational
• Booking error • Take-over rules – ensuring information
• Transaction and mis-matching of trades security
risk in financial institutions.
Discussion: Can a capital charge against Case Stage 2: Understanding the new You will learn how to design
these human and systems errors be operational risk environment
computed? efficient internal control
• Covering the period after the offer is agreed
Whose responsibility is operational risk? • Matching of people mechanisms that help to
• Organisational group risk – policy setting • Matching of systems prevent mismatching of
• Internal audit – assurance • Assessing how the support function will
• Operations – execution work trades and tracking errors,
• Traders Case Stage 3: Living with the new and apply data integration
• Front, middle, back office operational risk environment
• IT • Short-term - surviving the first few months methods to centralise and
Discussion: Is one group responsible? Who • Making the two firms work clarify management
should reap the reward for operational risk • Taking on the trading books
reductions? • Getting the systems to communicate and information systems.
work in tandem
MEASURING OPERATIONAL RISK • Living with multiple back-office and front-
Understanding the risk impact office systems
• What is measured and how • Living with multiple processes
• The interpratation of information • Linking switchboards, networks and email
• Capital allocation assumptions • Politics
• Capital adjustment policies • Dealing with resentment, dismissals/
redundancies
Discussion: The strengths and weaknesses of • Keeping the systems running
measuring operational risk
Case Stage 4: Designing and building a
MANAGING OPERATIONAL RISK better operational risk environment
Generic approaches • Longer-term - integration and rationalisation
• Do nothing • Process re-engineering and streamlining
• Insurance processes
• Risk profiles mapping • Removing duplication
• MIS • STP projects
• Straight Through Processing • Systems design and end-user
• Processes and controls considerations
• Overcoming data incompatibility • Single back office and front office
• Systems reconciliation • Overcoming resistance and introducing
training strategies
Soft issues

☎
• Project planning, budgeting and
• Building risk awareness culture communications
• Building consensus on risk allocation • Assigning responsibility for risk policy Booking Hotline
policies
• Building sense of responsibility for risk +44 (0) 20 7915 5602
www.iff-training.com 21

“Very good course and
group discussions”
M.R., Commerzbank
Course Dates
1-3 November 2004
13-15 April 2005
Course Highlights
This programme is
designed to help
participants achieve a
proficient level in discussing
and evaluating ways and
means for effective credit,
market and operational risk
management and the
implementation of
necessary controls. New
concepts, norms and
solutions for risk
management will be
presented. Practical
applications examples and
case studies will be utilised
throughout the course
☎
Booking Hotline
+44 (0) 20 7915 5602
22 www.iff-training.com
Advanced Risk Management
Master the latest techniques to manage and control market, credit
and operational risk
MARKET RISK MANAGEMENT
Risk Management Schemes – a Review
• Limit management
• The Greeks
• Value-at-Risk
• Other measures
Special Issues – Commodities Risk
Management
• Price behaviour before and after the
breakpoint
• How volume impacts price
• Settlement: physical or financial
PC Exercise: Delegates will quantify the
market risk of a commodity derivative
Value-at-Risk of a Portfolio
• Definition of VaR
• Types of VaR
• parametric
• delta normal
• historical
• simulation
• Extensions of VaR
• Incremental VaR (IVaR)
• Delta VaR (DVaR)
PC Exercise: Delegates will calculate the VaR
of a sample portfolio using these methods
Scenario Analysis
• What scenarios should you look at?
• Asset and liability management at a bank
• Reasonable yield curve shifts
Market Risk Management for Non-Financial
Corporations
• Looking at the balance sheet as a source
for risk
• Alternatives to VaR: Earnings at Risk, Cash
Flow at Risk, Revenues at Risk
• How do companies hedge in practice?
• Some common themes
• Zero or low-cost hedging strategies for
corporations
• Risk management to reduce a corporation’s
own risk vs. an insurance program to
protect against a competitive
disadvantage
• Risk management practices at Gillette, RJR
Nabisco, Microsoft and more
• Examples of reports on risk exposure by
several companies
Discussion: Should companies hedge?
Risk Management for Hedge Funds
• Managing a hedge fund investment
• Quantifying the liquidity risk
• Risk management practices at a fund of
funds
• Capital guaranteed hedge fund products
CREDIT RISK MANAGEMENT
Credit Risks and their Effects
• Evaluating three key issues
• pricing of credit losses
• managing credit lines
• calculating credit risks and capital
charges
• Assessing the three components of credit
risks
• exposure to single counterparty
• default probability
• recovery rates
• Credit risk vs market risk
• Credit buckets
Case study: Credit risk management at the
big multi-national banks
Determining the Probability of Counterparty
Default
• A comparison of three approaches to
default:
• Flesaker et al
• Black, Scholes & Merton
• Longstaff & Schwartz
• Hazard Rates
• Compare and contrast the approaches
Credit Risk Modelling and Data Issues
• Data requirements for market and credit risk
modelling
• Dealing with sparse data and poor quality
data (e.g. Asia or Emerging Markets)
• Modelling credit risk
• ratings-based approach
• equity-based approach
• Hull, Nelken & White: Volatility Skews and
the Credit Markets
• Monte Carlo simulations
• Compare and contrast the various
approaches
Recovery Rates
• The latest research on recovery rates
• How do these results impact on the bottom
line?
Combining Market and Credit Risks – the
Case of a Convertible Bond Portfolio
• A short overview of convertible bonds
• The relationship between credit spreads,
volatility and stock prices
PC Exercise: Delegates will compute hedge
ratios under different assumptions
Netting as a Successful Technique for
Reducing Credit Exposure
• The principal forms of netting
• Identifying the risks and how netting can
mitigate these risks
• Cross-border netting/cross product netting
• Assessing the impact of netting on a
counterparty's potential credit exposure
• Understanding the role of the regulators
and their interest in netting systems
• How documentation can strengthen your
netting position
• Cross-border legal risks: when can you net
and which countries would let you do it?
Collateralisation
• Assessing collateralisation as a credit risk
mitigating tool and as a business driver
• Determining the need: cost versus benefits
of implementing collateralisation
• Identifying constituents for effective
collateralisation.
• Deciding when to use bilateral collateral
agreements or one way collateral
agreements
Discussion: Collateralisation as a tool in
portfolio management: legal, security and
liquidity issues that enhance the credit
rating and quality of a portfolio
Portfolio Credit Risk Management
• Looking at different approaches
• JP Morgan - CreditMetrics/
CreditManager CSFP - CreditRisk+
• McKinsey and Company –
CreditPortfolioView
• Moody’s KMV – PortfolioManager
• JP Morgan, Goldman Sachs and
Deutsche Bank - CreditGrades
• Compare and contrast the different
approaches
PC Exercise: Delegates will use Credit Risk+
to compute the credit risk of a sample
portfolio under different assumptions
The Regulatory Framework for Credit Risk
• Regulatory capital calculations
• instrument by instrument
• the entire portfolio
• The Basel II methodology
• Recent developments in the regulatory
landscape
• Comments and critiques
Managing Operational Risk
• Self-assessment
• Collection of operational-loss data
• Capital calculation
• Examples from the field
• The BIS operational risk data and its uses
Discussion: Using internally generated loss
data vs. publicly available information
Business Risk
• Definition of Business Risk
• Quantification of Business Risk using
scenario analysis discussion
Policies and Procedures
• Best Practices
• Business Structure
• Examples of failures and successes
• Bonuses and RAROC: a thorny issue
• Moving from a business-unit-by-business-
unit control to an established, unified
approach to operational risk
Discussion: The changing landscape in the
USA, Europe and other countries
The Regulatory Framework for Operational
Risk
• Basel II
• What is being proposed?
• The various interest groups and their
agendas

Case study: Detailed examples of regulatory Reporting Risk

capital calculations In this special section delegates will examine
in detail the top level risk management reports
OPERATIONAL RISK AND RISK REPORTING used by one of the largest North American
The Growing Importance of Operational Risk Banks.
• Market consolidation and margin squeeze
• The complexity and sophistication of IT Discussion: The future of risk management
systems
• Regulatory and risk capital allocation
pressures
• Hidden risks posed by complex financial
products
• Improved communication and reliance upon
efficient IT systems and STP
• Can operational risk be quantified at all?

Discussion: Who should manage operational

risk?

Discussion: Operational risk qualitative vs

quantitative

Extreme Value Theory (EVT) - Theory and

Practice
• Leptokurtosis: Focusing in on the "fat tails"
• Techniques from the insurance industry
• The "Pareto" distribution
• Is EVT useful?

PC Exercise: Delegates will apply EVT to loss

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“Very professional and high
quality course. Great venue!”
M.d.K., NIB Capital Bank
Course Dates
6-10 September 2004
7-11 March 2005
Course Highlights
This is a residential training
course specially
constructed to provide risk
management professionals
with an unrivalled
understanding of the
mechanics and techniques
essential for success in
today’s volatile
marketplace. Over five
intensive days, you will
benefit from in-depth
market focused tuition
designed to optimise your
skills and increase your
effectiveness within all
aspects of risk management
☎
Booking Hotline
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School of Risk Management
The essential training programme for all risk management
professionals
TYPES OF RISK AND THEIR IMPORTANCE
Using Market Information
• Present valuing
• Marking to market
Price Sensitivities
• Duration measures
• PV01
• The significance of Value-at-Risk
Internal Performance Measures
• Risk-adjusted performance measures
(RAPM)
• Risk-adjusted return on capital (RAROC)
The Importance of Regulation
• The evolution of Basel "rules"
• Regulation by/within the EU
MARKET RISK
Market Risk – an Overview
• The main sources of market risk
• Techniques for measuring and managing
market risk
Factor Sensitivity Analysis for Measuring
Market Risk
• Calculating factor sensitivities for
- foreign exchange
- bonds
- swaps
- options
PC Exercise: Calculation of factor
sensitivities
• Factor sensitivity limits
• Example of managing a swap portfolio
using factor sensitivities
Some Elementary Statistics
• Standard deviation, covariance and
correlation
PC Exercise: Estimation of market factor
volatilities
PC Exercise: Estimation of market factor
correlations
• Problems with real world data
Monte Carlo Simulation
• Overview of Monte Carlo technique
• Choleski decomposition
PC Exercise: Performing Choleski
decomposition
Market Value-at-Risk
• VaR using variance / covariance method
• VaR using historic simulation
• VaR using Monte Carlo simulation
PC Exercise: Value-at-Risk estimation for a
simple portfolio
• Value at Risk limits
• Specific risk for equity and debt
instruments
Additional Risk Measurement Methods
• Conditional VaR
PC Exercise: Conditional VAR
• Component VaR
PC Exercise: Component VAR
• Extreme Value Theory (EVT)
• Stress testing
Economic and Regulatory Capital for Market
Risk
• VaR methodologies
• Back-testing under Basel
CREDIT RISK
Introduction to Credit Risk
• Basic concepts of default on payments
• Settlement risk and pre-settlement risk
• The market drivers of credit risk
• Measurement of credit risk
• Comparing credit with market risk
• Concepts of joint default probability, loss
given default and recovery rate
• Diversification and portfolio effects
Default Risk from a Historical / Actuarial
Perspective
• Definition of credit events
• Credit ratings
• Basel II internal ratings based methods
• Historical default rates
• Marginal and cumulative defaults
• Transition probabilities
• Recovery rates
• Sovereign vs corporate debt
Default Risk from Market Prices of Securities
• Bond prices, spreads, liquidity and risk
premium
• Equity prices
• Merton’s model
Credit Risk Exposure
• Exposure by risk type, expected loss,
worse loss
• Interest rate swaps, options
• Effects of margining and marking to market
• Limits and risk monitoring
Credit Derivatives
• Fundamental drivers behind the products
• Credit default swaps
• Credit linked notes
• Documentation issues
• Pricing and hedging examples
Credit Risk Management
• Estimating the distribution of credit losses
• Expected loss and unexpected loss,
relationship with economic and regulatory
capital
• Basel II Credit Risk Capital
• Time effects OPERATIONAL RISK The IFF School of
• Estimating the credit Value-at-Risk Defining Operational Risk
• Introduction to portfolio credit models
Risk Management
• Definition of operational risk
• Management of credit risk • The growing importance of operational risk
PC Exercise: Hands on calculation of sample in the new regulatory framework BENEFIT FROM 1-TO-1
credit risk exposures and the theoretical • Business lines COACHING
pricing of a credit linked note. • Risk categories

RISK AGGREGATION Case Studies: Identifying Operational Risk

Purposes of Risk Assessment • Barings
This unique training
• Solvency target – Internal/ Regulatory • AIB programme will provide you
• Risk control with the opportunity to
• Capital and resources allocation Measuring Operational Risk
• Regulatory capital - Basel approaches receive 1-to-1 training from
Uncertainties, Errors and Omissions in - basic our expert faculty. You will
Current Risk Assessment Methodologies - standardised receive a questionnaire in
• By risk type (market, credit, operational) - advanced measurement
advance of the course
• In the aggregation process • Loss Distribution Approach
- statistical distributions where you are asked to
Application-Orientated Global Risk - collection of loss data outline any specific areas or
Assessment Models - problems with data
• Linear risk factor (VaR) models for short
topics where you would like
- qualitative adjustments
term assessments
• Risk Drivers and Controls Approach
to receive personal
• Structural (VaR) and reduced form (time coaching.
• Key Risk Indicators
series) models for medium term solvency
targets - scorecards
• Scenario-based Approach
• Business models for long term strategic Upon receipt of your
planning
Economic and Regulatory Capital for questionnaire we will
Risk Management Operational Risk structure your requirements
• Organisation of responsibilities of the risk • Expected versus Unexpected Loss
into the course material and
management function • Home/host issues
• Performance criteria: RAROC, Sharpe ratio • Diversification schedule a time for you to
and others receive your coaching.
• Optimal allocation of capital: rationing Managing Operational Risk
versus pricing schemes • Sound Practices Paper
PC Workshop: uses of limits, pricing of • Reporting Requirements For more information,
capital and global hedging • Sample reports please call us on
+44 (0) 20 7915 5602

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“Very practical,
up-to-date course”
M.S., Renaissance Capital
Course Dates
16-17 September 2004
2-4 March 2005
Course Highlights
This course covers all
aspects of the development
of market risk models, from
the conceptual framework to
practical implementation,
and from basic methods to
the most recent advances.
You will gain a thorough
understanding of model
validation and backtesting;
the why, when and how of
scenario analysis and stress-
testing; Monte Carlo
methods and their
application to market risk
and an understanding of
VaR models from basics to
latest developments.
☎
Booking Hotline
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Market Risk
A practitioners guide to model development
Introduction to market risk
• Understanding the major sources of market
risk
• Identifying main techniques for measuring
risk
• Market risk regulations and Basel II
Value-At-Risk models: from basics to latest
developments
• Application to liquid equities and foreign
exchange
• Challenges in Value At Risk in fixed income
• Applications to derivatives (Delta-Gamma)
• The need for Monte Carlo methods
• Why do different VAR models give such
diverse results?
• Historical VaR and VCV methods
Case study: Managing the market risks in
derivatives trading: capturing the exposure
of FX and other options
Introducing alternative measures of risk
• Sensitivity based risk measures: PVBP and
Beta
• Risk factors and sensitivities in options
portfolios: the Greeks
• The problem of non-normality
• Downside risk, regret and maximum loss
• Coherent risk measures and conditional
VaR Extreme Value Theory
• Copulas and non-linear dependence
Optional one-day post-course workshop
MONTE CARLO SIMULATION
Fundamentals Of Monte Carlo Simulation
• Basic statistics
• Monte Carlo simulation
Overview of some improvements
• Non-normal Monte Carlo
• Antithetic variable
• Control variate
• Importance sampling
• Stratified sampling
• Low discrepancy sequences
• Spectral truncation
Pricing options
• Pricing simple European options
• Path dependent options
Measuring Market Risk
• Overview of factor sensitivity analysis
• Value at Risk
• Monte Carlo simulation details
For further details or a course agenda, please call IFF on +44 (0)20 7915 5602
Statistical methods for estimating and
forecasting volatility and correlation
• Uses and abuses of equally weighted
moving averages
• Advantages and limitations of exponentially
weighted moving averages (RiskMetrics)
• Making GARCH models work for you
- conceptual framework: stochastic
volatility and conditional
heteroscedasticity
- examining common pitfalls with
estimating GARCH models
- parameter stability, convergence of
methods
• Validating volatility forecasts
- Statistical vs operational methods
• Methods for generating large covariance
matrices: (EWMA and GARCH)
• Factor Models
Case study: Meeting the challenge of
designing and implementing a regulatory-
compliant Value-at-Risk backtesting
framework
PC Workshop: A practical PC-based
workshop on Value-at-Risk using Excel
Spreadsheet Example
• Worked example of VaR for a two factor
portfolio
• Comparison of the three methods
• Examination of the tails of the
distribution
Modelling Credit Exposure
• Definition of terminology
• Transaction based credit exposure
factors
• Portfolio based Monte Carlo simulation
models
Modelling Credit Risk
• Economic capital for a single
counterparty Economic capital for a
portfolio of counterparties
Quantitative Value-At-Risk
Analysis
Gain state of the art working knowledge on all aspects of VAR
analysis

“I liked this course because it

Introduction to VaR
• Definition
• Regulation
• Uses of VaR
• VaR and the organisations
• Building in safeguards:
- understanding tensions in risk
measurement systems
- measurement hierarchy to overcome
tensions
- limit concept
• Stress scenarios and regulatory stress
testing
• Management reporting generic structure
• Best practices in risk control
• Backtesting
• Pros and cons
Calculation of VaR for basic assets
• Historical simulation
• Variance-covariance methods for linear
portfolios
• Normal distribution
• Pros and cons
• The square root of time rule
Analytical methods for option and bond
portfolios
• The Delta method
• The Gamma method
• Delta-Gamma normal
• Duration and convexity for bond portfolios
• Overcoming problems with these methods
Risk properties of prices and returns
• Risk correlation over time
• Risk correlation across assets
• Fat tails and risk management
• Detecting fat tails
• The volatility smile
• Principles of modelling risk
Other measures of risk
• Coherent risk measures
• Expected shortfall
• Extreme Value Theory (EVT)
- application of EVT models
- pros and cons of EVT
- estimation of EVT models
• The square root of time rule revisited
• Modelling extreme dependence with
copulas
Forecasting volatility and correlations
• Autocorrelation in volatility
• Dynamic volatility models
- GARCH
- Risk Metrics
- Other models
- Portfolio volatility models
- Multivariate GARCH models
- Factor volatility models
- Stochastic volatility gives the participants a good
- Implied volatility quantitative toolpack for
applying risk management and
Workshop: Volatility forecasting of the SP-
500 Index VaR in practice directly”
The components of credit VaR R.T., KLM Pensionfund
• Settlement risk versus pre-settlement risk
• Current replacement cost
• Potential credit exposure Course Dates
• Probability of default 27-28 September 2004
• Recovery rate
• Summary of relevant statistics: mean, 4-5 April 2005
variance and covariance
Modelling credit exposure
• Transaction-based Credit Risk Factor
models
- Problems with CRFs for individual Course Highlights
transactions
Covering both empirical
- Problems with CRFs for a portfolio of
transactions research and practical
Assigning economic capital by counterparty methodology, this intensive
• Expected and unexpected loss training course will provide
- Exposure profiles, default profiles, loss you with the knowledge and
profiles
• Monte Carlo simulation of economic capital skills to evaluate different
for credit risk models for VAR calculation;
- Credit migration/Probability of default
examine the benefits of
- Recovery rates
- Credit spreads stress-testing; calibrate and
implement Monte Carlo
Credit portfolio models
simulation techniques; use
• Simple extension to a portfolio of
independent counterparties VAR for capital allocation,
• ISDA Simplified Model trading limits and risk
• Parameters for classifying portfolio models
control. You will also learn
Monte Carlo Simulation methods for how to apply optimal
derivatives techniques for integrating
• Why and when using Monte Carlo
credit and market risk into
• Pitfalls in Monte Carlo methods
• Generation of random numbers VAR and successfully price
• How many simulations are needed and hedge default-prone
• Application to assessing bond risk
securities and derivatives.
- the importance of simulation of bonds
- simulation of VaR for a bond
• Application to options
- the log-normal correction
- main steps in stimulating the option
- obtaining VaR from the simulation
• Simulation of price paths
• Portfolio risk and simulation
- Choleski decomposition
- simulation of VaR for a portfolio of
options and stocks
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“The faculty is second to
none. It is able to address all
issues and to target any kind
of attendance”
H.S., Nomura International
Course Dates
1-3 September 2004
16-18 February 2005
Course Highlights
Focusing on the practical
techniques for the accurate
quantification and effective
control of credit risk, this
course will cover how to
evaluate different models
for effective credit risk
measurement including
asset, spread and transition
matrix models. Build credit
risk measurement
spreadsheets to accurately
manage your exposure;
calibrate and implement
credit risk models for
improved risk measurement
and management; compare
the different methodologies
and overcome problems in
model implementation; use
credit risk models for
setting risk limits, reserving
for credit losses and
evaluating the adequacy of
economic and regulatory
capital.
☎
Booking Hotline
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28 www.iff-training.com
Credit Risk Modelling
Your practical guide to effectively measuring and managing
portfolio credit risk
Modelling Credit Risk
• Assessing the probability of default
• Data requirements for credit risk modelling
• Dealing with sparse data and
poor quality data
• Review of different approaches
for pricing the credit risk of a
portfolio of derivative contracts
- asset models (structural models)
- spread models (intensity models)
- transition matrix models
Black-Scholes / Merton Option Pricing
Approach
• Introducing the concepts through simple
examples
• Bank-loan decisions and loan
guarantees
• Credit (default) risk as a put option
• Embedded complexities of interim
cashflows
• Recapitalisation effects
Crouhy-Galai-Mark Option Pricing Approach
• Assessing credit risk as a put option
• The dynamics of default: default statistics
• Credit risk as a function of equity value
• Integrating yield spreads with
options framework
• Systematic and specific risk of default risk
PC Workshop: Black-Scholes/Merton Models
Participants will build a credit risk spreadsheet
based on the above methodologies.
Jarrow-Turnbull Model: Applying Term
Structure Models
• A stochastic term structure of
default-free interest rates:
- implementing the Black-Derman-Toy
single factor model
• The Markov process for credit ratings
• Stochastic maturity specific
credit-risk spread
• Implementing a discrete-time
Markov model
PC Workshop:
• Pricing credit risky bonds
• Pricing options on credit risky bonds
• Pricing vulnerable derivatives
• Pricing a credit default swap
• Pricing a total return swap
Ho, Stapleton and Subrahmanyam Two-
Factor Model
• Measuring and managing the credit risk of a
portfolio of derivative contracts
• Netting and non-netting effects
• Credit risk as:
- an option on a portfolio
- a portfolio of options
• Multivariate-binomial
approximation technique:
- state-by-state analysis of
possible losses
- multi-period dimension modelled
using a mean-reverting model
of term structure of volatility
• Computational speed advantage
compared to Monte-Carlo
simulation.
PC Workshop: Spread Models
Participants will build a credit risk
spreadsheet based on the above
methodologies.
Understanding the Transition Matrix
Technology
• Applying the Jarrow-Turnbull
model
- the foreign currency analogy
approach
- arbitrage-free restrictions of
the model
- using Martingale measure
technology
- a discrete-time model in a
two-period economy
- a continuous-time model
• Credit ratings and default probabilities
- mathematics underlying the model
- the underlying assumptions
- the discrete time case
- the continuous time case fitting the
stochastic term structure
- adding the recovery rate
• Overcoming problems in
estimating parameters
- default-free parameters
- the recovery rate
- the generator matrix
- transition probabilities
- the risk premium
- survival probabilities and spreads
• Practical implementation of
Jarrow-Lando-Turnbull approach
• Overcoming lack of data problem
PC Workshop: Transition Matrix Models
Participants will construct a credit risk
spreadsheet based on the above
methodology.
Integrating Market Risk
and Credit Risk
Develop an enterprise- wide approach to risk management and
achieve optimal capital allocation
Introduction and Overview of Basic Statistics
• Organisational structures to enhance
integration
• Analytical similarities in risk measurement
techniques
• Systems design to incorporate common
systems
• Data requirements
• Some elementary statistics
• volatility of market factors
• Correlation and covariance, correlation
matrix
• combining statistical information with
subjective judgement
• problems with variance/covariance matrix
• Overview of Monte Carlo simulation
methodology
Value-at-Risk for Market Risk
• Factor sensitivity analysis
• foreign exchange, bonds, options, swaps
• VaR using variance/covariance method
• VaR using historical simulation
• VaR using Monte Carlo simulation
• Conditional VaR, component VaR
• Scenario testing
• Economic capital for market risk
Credit Risk / Economic Capital for a Single
Counterparty
• Transaction approach
• Portfolio approach
• Stress testing
• incremental transactions
• changing current market rates
• Economic capital for credit risk
Credit Risk / Economic Capital for the
Complete Portfolio
• Independent Counterparties
• Correlated Counterparties
• Correlation between default probabilities
• KMV
• CreditMetrics‰
• Economic capital for credit risk
Operational Risk
• Regulatory capital under Basel II
• basic approach
• standardised approach
• advanced measurement approaches
• scenario approach
• loss distribution approach
• risk drivers and controls approach
• problems with Basel II
• Economic capital for operational risk
Economic Capital for the Firm
• Aggregation across risk types
“Very good course.
• Inter-risk correlations Excellent course leader
with broad experience in
VAR methods and how they apply to the
integration of Market and Credit Risk the field”
• Definitions and properties of VaR
C.S., Business & Decision Benelux
• Different types of VaR
• Problems with VaR
Credit Risk Modeling and Data issues
• Data requirements for market and credit risk
Course Dates
modelling
25-26 October 2004
• Dealing with sparse data and poor quality
data 18-19 April 2005
• Modelling credit risk
• Ratings-based approach
• Equity-based approach
• Combining market and default risk to find
the total credit risk
Course Highlights
Extreme Value Theory (EVT) - theory and
practice A state of the art training
• What is it – the maths behind EVT
programme for every risk
• Fitting data tails with EVT
management professional.
Case studies: FX data, equity data, interest
rates The course will look at the
Looking at credit risk with EVT case for integrating credit
• Current state of credit risk modelling and market risk and will
• Using EVT to analyse default rates
enable you to understand
Case studies: fitting default distributions and comprehend the
with EVT
advantages and
Credit risk and credit derivatives
• Managing portfolio credit risk
disadvantages. The course
• How credit derivatives can enhance the is very heavily practically
process focused and has been
• New risks of credit derivatives
• The pricing problem
designed to examine both
the theoretical and practical
• Credit derivative pricing example
• The future applications.
Applying RAPM to the integration of credit
risk and market risk
• Capital allocation building blocks
• What is RAROC?
• RAROC inputs
• RAROC and Risk adjusted capital
• A bank-wide capital number?
Case study
The First Chicago VEP system – how to use
fast straightforward techniques to aggregate
and integrate market and credit risk on a
large portfolio
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Brand New Course
Course Dates
27-29 October 2004
23-25 February 2005
Course Highlights
This course addresses the
quantitative aspects of
calculating economic and
regulatory capital. As well
as exploring the differences
between economic and
regulatory capital, this
course will give you an
insight into optimal capital
allocation and attribution.
Attend this course and learn
the best practice methods
to comply with the new
Basel II framework.
Assessing Economic and
Regulatory Capital
Learn state-of-art techniques to calculate and allocate economic
capital and overcome practical obstacles in integrating risk
management and capital allocation
Economic Capital for Market Risk, Credit
Risk and Operational Risk
• Examples of major losses through the
centuries
- market risk
- credit risk
- operational risk
• Business risk and other types of risk
Introduction to Economic Capital
• Understanding the role and definition of
capital
• Accounting for the cost of risk
• Expected and unexpected loss
The Concept of Value-at-Risk
• Basic statistical techniques
• Mean and variance
- covariance and correlation
- dealing with sparse data and poor quality
data
• The idea behind VaR
• Advantages and disadvantages
Market Risk Value-at-Risk Methodologies
• Analytic variance-covariance approach
- factor sensitivity
- potential Loss Amount
• Historical simulation
• Monte Carlo simulation
• Extensions of VaR
- conditional VaR
- component VaR
Case study: Calculate the VaR of a sample
portfolio using several techniques
Quantitative and Qualitative Approaches to
Unexpected Loss Calculations
• Quantitative vs. qualitative approaches –
simulations and scenarios
• Extreme Value Theory (EVT)
• Stress testing
Regulatory Capital
• Differences between "economic capital"
and "regulatory capital"
Capital Allocation for Credit Risk
• Data requirements for market and credit risk
modelling
• The correlation matrix for credit risk
• Modelling credit exposure for derivatives
- foreign exchange
- interest rate swaps
• Modelling credit risk
- structural models
- reduced form models
Portfolio Credit Risk Management
• Moody’s KMV – PortfolioManager
• JP Morgan - CreditMetrics/CreditManager
• CSFB - CreditRisk+
• McKinsey and company –
CreditPortfolioView
• Default correlation, copulas and the
portfolio effect
• Combining market and default risk to find
the total credit risk
Risk Bid Pricing
• Pricing which is influenced by the
unexpected loss
- Is it myth or reality?
• Will the clients pay the required price?
• The Group of Thirty recommendations
• Securitisation
• Collateralisation
• Guarantees
• Credit derivatives
Case study: Reduce the capital required by a
sample portfolio
Using Credit Derivatives to Reduce Capital
Requirements
• Actual examples from the field
• Return on capital under various strategies
- making a loan vs. buying a credit derivative
Workshop: Calculate the return on capital of
several structures (e.g. buying a bond vs.
buying a bond and a credit derivative)
Operational Risk
• Identification and definition
• Steps towards operational risk management
- self-assessment
- collection of operational-loss data
Discussion: Internally generated loss data vs.
publicly available data
Capital Calculation
• Basic indicator approach
• Standardised approach
• Advanced measurement approach
- loss distribution approach
- scenario-based approach
- risk drivers and controls approach
• Problems with Basel AMA
Policies and Procedures
• Basel Sound Practices
• Moving from a business-unit-by-business-
unit control to an established, unified
approach to operational risk
Business Risk
• The risk that the revenues of a business
unit will decline
• How is it measured
• How to allocate capital to business risk
Firm-wide Risk Management
• Aggregating the risks across the various
business units
• The benefits of diversification
• Avoiding double counting
• The connection between market, credit,
operational, business and other risks: how
to allocate them to a useful measure
• Risk reporting
Case study: Risk reporting in major banks.
Example of an operational risk report.
Optimal Capital Attribution and Allocation
• Attributing capital to business units
• Attributing capital to transactions
• Optimising the allocation of capital
• Performance measures: necessary
precondition to capital allocation
- the concept of RAROC
- links between RAROC, SVA and EVA
- risk adjusted returns to evaluate product
and business lines

☎
Booking Hotline
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Using Various Tools to Reduce Capital
Discussion: The future of risk management
Requirements
• Natural offset
• Netting

30 www.iff-training.com
Understanding Basel II and
Economic Capital
Coping with Basel II regulatory constraints and developing internal
risk assessment and management methods
REGULATORY CAPITAL UNDER BASEL II
Update on Basel II Proposals
• Overview of the proposals; the emphasis on
Pillar 1 - capital adequacy
• Current points of debate following CP3
• The growing role of Pillar II
• Pillar III and the likely effects of disclosures
• Challenges to supervisors
Preparing for the Implementation of Basel II
- Market Risk
• Evolution of market risk measurements and
regulations
• Primary and secondary market risks
• Basis for risk measurement
• Critical review of regulatory measurements
- standard methods
- VaR and other internal methods
Market Risk Control
• The critical role of hedging strategies
• Framework for optimal hedging strategies
• Implementation of hedging policy – flexible
guidelines to traders
Preparing for the Implementation of Basel II
- Credit Risk
• Review of the proposed approaches
- the standard approach
- the internal rating based approaches
• Evaluating the impact of the new
approaches compared to current methods
• Rating of counterparties and calibrating the
ratings
• Applying the Basel II credit portfolio models
Credit Risk Mitigation
• Seeking methods to reduce regulatory
credit risk capital
- traditional credit risk mitigation tools
(netting, collateral, guarantees)
- credit swaps and other credit derivatives
- securitisation
Preparing for the Implementation of Basel II
- Operational Risk
• Advantages and limitations of proposed
models for determining operational risk capital
• Categorisation of operational risks:
frequency and impact; loss types and lines
of business
• Empirical evidence about operational risks:
quantitative impact studies
• Sources of external data: consortia and
commercial databases
• Building up internal data: classification and
evaluation of operational losses
Operational Risk Control and Mitigation
• Developing an operational risk management
framework
• Outsourcing
• Insurance and operational risk bonds
Case Study : Implementing Basel II
This will be a practical case study looking at
how banks are implementing Basel II. It will
cover how Basel II projects are being
structured, which approaches are being
targeted, examples of cost benefit cases and
time lines. It will also highlight some of the
common issues that arise and what can be
done to improve Basel II project
effectiveness.
ECONOMIC CAPITAL, RISK MANAGEMENT
AND CAPITAL ALLOCATION
Uncertainties, Limitations and Biases in the
Determination of Regulatory Capital
• The main sources of uncertainty in
assessing risks
Brand New Course
• Classification of risks and bottom-up
approaches
• Valuation model errors: structure, inputs,
calibration, resolution
• Reliance of single risk metrics; extreme
quantiles; coherent measures
• Inadequate accounting bases
• Blind spots
• Estimation of errors in risk assessment Course Dates
within each major risk class
Definition and Evaluation of Economic
21-22 October 2004
Capital 21-22 February 2005
• Developing coherent assumptions and
models for evaluating risks
• Using appropriate portfolio models for each
risk class
- market: advanced volatility and liquidity
analysis, latest advances in VaR models
- credit: use of credit portfolio models Course Highlights
(CreditMetrics, CreditRisk+,…)
- operational: specific methods to address The aim of this course is to
nominal, ordinary and extreme risks
• Relating economic capital needs to risks provide delegates with an
and returns
understanding of the best
Aggregation of Risks across Risk Classes and
Business Units practice methods used for
• Why simple addition of capital needs is implementing Basel II. As
neither coherent nor safe
• Inadequacies of simple correlation matrices well as providing extensive
between risk classes and business units
• Why current total capital (economic as well insight into how banks
as regulatory) evaluation methods lack should take maximum
robustness and relevance
• Application orientated risk aggregation advantage of the
methods
- defining the purpose of the aggregation innovations in Basel II for
(e.g., capital allocation, solvency test) credit, market and
- choosing relevant assumptions and
models (bottom-up and top-down) operational risks, this
• Example of risk aggregation models:
- a linear risk factor model for capital course will present the
allocation over the short term
latest developments in the
- a non-linear tail risk model for estimating
extreme risks over the medium term estimation of economic
- a business model for exploring the
balance between solvency and capital, risk aggregation
profitability over the long term
methods, risk adjusted
Performance Evaluation and Optimal performance measurements
Resources Allocation
• Critical review of traditional risk adjusted and capital allocation
performance measures (RAROC and schemes.
variations)
• General framework for determining an
optimal business mix
• Incentive schemes for moving towards the
optimal business mix using capital
constraints or internal pricing of capital
Framework for Determining an Optimal
Capital Level and Capital Structure
• Determinants of an optimal capital level
from the point of view of:
- bank managers
- shareholders and other stakeholders
- banking regulators
☎
• Capital management
- setting a desirable level of capital
- deciding on the appropriate capital Booking Hotline
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- managing the investment of equity funds +44 (0) 20 7915 5602
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“Very good course.
Great level of technicality
and detail, which is what I
required”
P.S., Abbey National
Course Dates
18-20 August 2004
13-15 December 2004
Course Highlights
This course covers the
essential tools of successful
financial engineering.
Beginning with the
fundamentals of fixed and
floating rate instruments,
then moving on to interest
rate options and swaps,
equity, currency and asset
swaps. Duration and
convexity, FRN, DECS,
ELKS and convertible
bonds will also be
explained. In every instance
the risk and reward
opportunities for all parties
will be covered.
☎
Booking Hotline
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Financial Engineering
Practical and innovative approaches - from concept to profit
Introduction to Financial Engineering
Structured Finance - An Introduction
• Risk management for corporations
- mismatch between assets and liabilities
- exposure to many new risks through
expansion to new markets
- bundling risks: exposure to one risk factor
vs. exposure to a basket
- how do risks effect shareholder value?
• The investors
- democratisation of finance: ease of
access to information from all over the
world
- globalisation of finance: worldwide
availability of investment
opportunities
- the relentless search for value
• The bankers
- increasing competition between the big
brokerage houses
- the two main principles of financial
engineering
- slicing and dicing risk and return
• The "rocket scientists"
- computers continuously increasing in
power
- switching careers: from academia to
finance clients demanding more and more
and increasing in sophistication
Premium Reduction Strategies
Due to continuous hedging, zero and low cost
hedging become the goal
• The goals of hedging and risk management
• Is it cheaper to hedge several risks with one
structure or hedge them separately?
• How averaging can reduce option
premiums
- options on baskets
- average rate options
- Asian options on baskets
• The increase in companies’ expectations of
their bankers
• How can banks help?
The Term Structure of Interest Rates
We review the many types of interest rates
and how they are derived from each other
• Par bond yield curve
- construction with benchmark bonds and
linear interpolation
- construction with a universe and
exponential cubic splines
• The zero coupon curve
• Corporate curves and spreads
• What does the spread really measure?
• Forward curve
• The Libor interest rate curve
• Does volatility affect the curve?
• Commercial paper rates
• Derivation of one curve from another
- bond stripping and reconstitution
- gap and multigap analysis
Duration And Convexity
• Duration and convexity analysis for
structured notes
• Duration and convexity
• Key rate duration
• Modified Duration
The Building Blocks
We introduce the following products with
specific examples and discuss how they are
priced and hedged
• Forward rate agreements (FRAs)
• Caps and floors
• Collars and zero cost collars
• Interest rate swaps
- fixed to floating
- in arrears
- floating to floating (e.g. basis swaps)
• Equity swaps
- fixed notional
- variable notional
• Currency swaps
Yield Curve Option Pricing Models: A
Thorough Survey
For the valuation and hedging of interest rate
options, there are two types of models
currently in use: equilibrium and preference-
free. We review both approaches and stress
their suitability for different applications
• The equilibrium models
- Cox, Ingersoll and Ross
- Vasicek - Jamshidian
- Longstaff and Schwartz
- Balduzzi, Das and Foresi
• The preference-free models
- Ho and Lee
- Black, Derman and Toy
- Hull and White
- Heath, Jarrow and Morton
- The “Market pricing models” of
Brace, Gatarek and Musiela
Interest Rate Models: How Are They Used In
Practice
• Choice of Models
- why there is no single “best” model?
- speed and simplicity vs accuracy
- what do you want the model to do?
• The software dilemma: should you
purchase it or develop it internally?
• The calibration of a model
- parameters changing in “real time” vs.
others changing once a day or even once
a week
- how to estimate unobservable
parameters?
(e.g. the mean reversion rate)
Introduction To Convertible Bonds
Covering these products from the points of
view of the issuer, the investor and the banker
• Why use them
• Why they are not a bond plus or
equity option
• Two factor model valuation techniques
• What are their special features
• The special risks of convertible bonds
Volatility
State of the art techniques in volatility
estimation
• Historical volatility
- what term should be used
- what historical period should be used
• Implied volatility
- what causes volatility
- “volatility days”
• Different methods of volatility estimation
- using closing prices
- using daily high and low prices
- using high, low, open and close prices
- the “Parkinson” rule
- using exponential moving averages
• Volatility smile and smirk
• Pricing using a binomial tree (review)
• Black, Derman and Kani
• Rubinstein’s implied binomial trees
Hedging With The Presence Of The Smile
There is a volatility smile, so how do you
hedge?
• Looking at the problem: why the Black
Scholes Delta is not correct
• Several attempts at hedging in
presence of the smile
• What are the techniques used by
the leading firms?
Advanced Structures
We will introduce the following advanced
products and discuss their rationale from the
investor perspective as well as from the
issuer. We also talk about issues in pricing,
hedging and risk management.
• Swaptions
• Captions and floortions (floptions)
• Barrier knock out caps
• The Quanto option
• Volatility Swaps
Structured Floating Rate Notes (FRNs)
Here we introduce several types of structured
notes and talk about their issuers and buyers.
How do these notes behave when rates
change? What about volatility and correlation
effects?
• The three generations of structured notes
• Inverse floaters
• Libor squared notes
• Deleveraged CMT FRN
• Spread products (e.g. Prime - Libor)
• Range floaters: the two basic types
• Accrual notes
• A ratchet floater
• Index amortising notes
• Currency indexed notes
• Commodity linked notes
• Total return index notes
Other Hybrid Structures
We look at many types of hybrid securities
• Aces, Decs, Prides, Sails and Strypes
• Explanation of the various structures and
the differences between them
• Hybrids composed of debt and
derivatives vs. hybrids composed
of equity and derivatives
• Who uses them and why? Examining the
structures from the point of view of the
buyer and the seller
Evaluating The Credit Derivatives Market
And The Rationale For Its Development
• Market origins
• Key factors and phases in
market development market structure
• An overview of market participants
Credit And Default Risk Modelling, Trading
And Management
We provide detailed explanations of the key
products and structures, we cover the pricing
approaches and models, and we discuss the
implications of the use of credit derivatives for
banking and credit management
• Credit Derivatives: The Key Products
- Total return swaps
- Credit-spread products
- Credit-default products
• Credit-linked Structured Notes
- Total rate of return credit-
linked notes
- Credit-spread notes
- Credit-default notes
- Synthetic bonds
• Credit Derivatives: Valuation and Pricing
- Modelling default risk using asset and
spread based approaches
- Build a credit spread curve to
price default risk
Exercise: The BDT model with credit and
default risk
Credit Risk Workshop
In this workshop, we cover applications of
credit derivatives by financial institutions,
investors and corporations through real
examples
• Management of concentration
risk in credit portfolios
• Credit portfolio management
• Syndications
• Hedging dynamic exposure on derivatives
• Optimizing balance sheet capital
utilization and return on risk capital
• Investor applications:
Synthetic/non-accessible assets, yield
enhancement, exposure reduction
• Corporate applications: Project finance
country risk, managing credit exposure to
☎
a major customer, credit default swaps as
a use of corporate surplus funds Booking Hotline
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“The course hit exactly the
level I expected to. The
course leader is fantastic. I
liked attending this course
very much. Thank you”
C.W., Deutsche Bundesbank
Course Dates
8-10 September 2004
6-8 December 2004
Course Highlights
This course will cover the
mathematical concepts
underlying interest rate
models, including a
thorough analysis of the
main models in use, the
impact of alternative
volatility structures, process
requirements for
developing, calibrating and
validating models, and the
practicalities of pricing,
hedging and position taking
using interest rate models.
☎
Booking Hotline
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Interest Rate Models
Develop, calibrate and validate models to improve your pricing,
hedging and position taking
Introducing the mathematical concepts and
preliminaries underlying interest rate models
• The jargon of valuation: describing interest
rate processes
• Numeraires, equivalent Martingale
measures and risk-neutral valuation
• Feynman-Kac, Girsanov, Kolmogorov
• The forward measure
Fitting the yield curve
• The choice of parametric or non-parametric
curve fitting
• Spline methods; B-spline, smoothing
splines
• Kernel methods
• Nelson and Siegel curves
Workshop: Fitting the yield curve
Evaluating the success in practice of curve
fitting techniques on yield curve data
Affine term structure models
• The bond market and the money market:
different modelling approaches
• Blacks’ formulae for caps and swaptions:
hedging with Blacks’.
• Basic one factor affine term structure
models:
- Vasicek; Cox, Ingersoll and Ross
• Two and three factor affine models
- Longstaff and Schwartz; Fong and
Vasicek; the BDFS model
The Whole Yield Curve modelling framework
• The Heath, Jarrow and Morton framework:
- the no-arbitrage conditions
- pricing in the HJM framework
Workshop: Pitfalls with basic models
In this workshop the use and limitations of
the basic models are explored, leading on to
the more advanced models considered later
in the course.
Calibrating models to fit the interest rate
curve
• Calibration using historical or cross-
sectional data
• Problems with naive methods
• Obtaining model parameters
• The general method of moments, maximum
likelihood methods
• Non-parametric methods: using kernel
functions to estimate probabilities and
moments
Monte Carlo methods
• The basic method
• Basic speed-up methods: antithetic
variates, control variates
• Stratified sampling and the Brownian bridge
• Quasi-random numbers
• Spectral Decomposition and Moment
matching methods
• Valuing American and Bermudan style
interest rate derivative
Workshop: Monte Carlo methods
Using Monte Carlo methods to value interest
rate instruments. Comparison of various
speed-up methods implemented in Visual
Basic
Finite different methods
• Explicit, implicit and Crank-Nicolson
schemes
• Specifying boundary conditions
Lattice methods
• Lattice methods: binomial or trinomial
methods?
• Exploration of lattice methods: Hull and
White; Black, Derman and Toy; Schmidt
• Pricing on a lattice: Ritchken and
Sankarasubramanian
• Obtaining hedge ratios
• Fitting to the initial yield curve
• Fitting to initial volatilities
Workshop: Lattice methods
Using alternative lattice methods for valuing
and hedging interest rate products.
Market models
• Market models: calibrating to market prices
• Recovering Blacks’ formulae
• General market models
• Choosing volatility functions and the
correlation matrix
• Implementing market models: overview and
examples
Workshop: Market models
Using market models to calibrate prices of
caps and swaptions and fitting to a volatility
smile.
Understanding volatility structures
• Calibrating HJM and market models
• Obtaining volatility curves
• Extracting volatility curves from the data
• Principal components analysis and
historical data
• Implied covariance matrices: calibrating to
market prices
• Kennedy’s Random field approach: better
calibration of HJM models
Credit risk
• The issue of default risk and default
correlation
• Structural and reduced form models
• Copula methods for modelling default risk
• A credit rating model of credit risk
• Pricing credit derivatives
Workshop: Credit risk
Using Visual Basic implementations,
delegates assess the credit risk of simple
portfolios and see how the models can be
applied to value credit derivatives.
Bank Credit Analysis
Gain a practical insight into the methodologies used to effectively
analyse banks, financial institutions and corporates

Introduction The Rating Agencies

“Very good course!”
• What constitutes a bank • Different agencies
• Types of banks • Rating methodology for banks
I.R., Dexia Asset Management
• Areas of risk • Comparison between corporate and bank
rating
Risk Analysis Framework • Rating symbols
• Top down approach
- country risk The CAMEL(B) Approach to Analysis
- industry risk • Capital
- bank specific risk • Assets
• Markets
Course Dates
Understanding Organisational Structures • Earnings 24-26 November 2004
• Concept of the universal bank/LCBO • Liquidity and liabilities
• Organisational structure based on functions • Business
11-13 May 2005
• Internal relationships • Internal controls
• Front office, middle office and back office • Organisation
• Key risk areas • Management
• Systems and control
• The impact of e-business Ratio Analysis
• Calculation and interpretation of principal Course Highlights
Structure of a Bank’s Financial Statements ratios This highly practical course
• Reporting requirements • Using spreadsheets
• Balance sheet - standardise packages
has been carefully designed
• Income statement - bespoke spreadsheets to teach you the analytical
• Accounting for non-performing loans • Benchmarking tools used to assess a bank
• Accounting for derivatives • Trend analysis
or financial institution’s
• Other off balance sheet items • Peer group analysis
• International comparisons and differences credit position. It also
• Initial considerations:
Group Case Study examines the very specific
- liquidity Each group will be given basic data on two/
three banks. During the course of the day risks associated with the
- quality of assets
- quality of earnings
they will be required to analyse each bank banking sector, and
and prepare a presentation. Additional
- maintaining margins information may be available if specifically emphasizes the practical
- ‘real’ earnings level requested by the group. application of the analytical
The Regulatory Environment Presentation of Case Studies process, drawing on real life
• The need to regulate the banking sector The presentations will include: case studies and examples.
• The international dimension (Basel) • List of all information sources requested
• EU Directives and utilised
• Domestic regulation • Full analysis (where possible)
- what is domestic regulation? • Conclusions as to creditworthiness
- identifying the regulator • Specific recommendations
- the role of the regulator
- current developments
De-brief of Case Studies Presentation
Bank Failures
Sources of Information • Spotting the warning signs
• Financial • Causes of failure
• Non-financial • Anecdotal examples
• Key issues • Lessons to be learnt
• Reading the annual report • The way forward

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“Excellent delivery and
good examples. One of the
best courses I’ve been on!”
R.N., Allied Irish Bank
Course Dates
13-17 September 2004
7-11 February 2005
Course Highlights
This intensive training
course, through case study
analysis, practical examples
and hands-on workshops,
will give you the opportunity
to improve your
understanding of all aspects
of bonds and fixed income
so to be fully prepared to
meet the challenge of new
and exciting developments
in the bond markets. Also,
due to its residential format,
this course will prove
invaluable in giving
participants the opportunity
to concentrate exclusively
on the subject without any
distractions.
☎
Booking Hotline
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36 www.iff-training.com
School of Bonds and Fixed
Income
The essential training programme for all fixed income
professionals
Bond And Fixed Income Mechanics
• Time Value of Money
• The mathematics for capital markets
• The mathematics for money markets
• Getting to Grips with Algebra
• Basic transformations
• Basic Bond Mathematics
• 3 applications widely used in the markets
- calculating future values
- calculating present values
- calculating implied financing rates
• The basic assumptions and their
implications for bond pricing
• Using financial calculators
(HP17BII’s and HP19BII’s or Casio FC-100 )
• Annual, semi-annual and quarterly rates
Market Conventions And Conversions
• ISMA Bond Basis (30E/360 and
Actual/Actual)
• US Bond Basis (30/360)
• US Money Market Basis (Actual/360)
• UK Money Market Basis (Actual/365F)
• UK Money Market Basis
Variation (Actual/365)
• US Treasury Basis (Actual/Actual)
• Conversions
• Converting from 360 to 365 and vice versa
• Converting from 30/360 to
Actual/360 and vice versa
Practical Bond Pricing Techniques
• What moves interest rates
• What influences yield curves
• A macro approach to pricing
fixed rate bonds
• The value of one basis point for
different maturities
• Inverse proportionality
Exercise: Approximating bond prices
mentally
• The use of benchmarks in bond
pricing
• Using a single discount rate
• Assumptions inherent in interest
compounding
• Calculating and interpreting
internal rates of return
• All-in-costs and yields to maturity
• ISMA’s rules 803.1 and 803.2
• Accrued interest
• Clean and dirty prices
• Multiple discount rates
• Forward rates and zero curves
• Zero coupon bonds
• High yield bonds
Case Study
Calculating clean and dirty bond prices
Pricing Floating Rate Notes
• Parallels with fixed rate bonds
• Discount margins and the IRR
• Changes in the market
• Changes in the credit
Exercises: approximating floater prices
mentally
• Using Bloomberg to price floaters
• Using a single discount rate
• Using multiple discount rates
• Forward rates and zero curves
• The relationship between swaps
and floaters
• High yield floaters
Case Study
Calculating clean and dirty floater prices
Understanding Bond Sensitivities
• The importance of risk management
• Bond Pricing Review
• Macauley Duration
• Capital loss and income gain
from interest rate movements
• Break-even analysis
• Time-weighted average of
discounted cashflows
• Sensitivity of duration for different bonds
- maturity
- coupon
- yield
• Time decay of Duration
• Modified Duration
• Price-yield relationship
• Approximation of price changes
• Convexity
• Estimating convexity
• Measuring convexity
• Dynamic hedging
Using Duration As A Hedging Or Trading
Technique
• Risk and interest rate sensitivity
• Calculating the present value of
one basis point
Exercise: calculating the PV01 of a bond
position
• Using Macaulays’ duration
• Using Modified duration
• The relationship between
duration and the PV01
• The additivity of duration
Case Study
Using duration to calculate hedge ratios
Bond Portfolio Management
• Using duration as a portfolio
management tool
• Active portfolio strategies
• Bond indexing
• Asset and liability matching
Getting To Grips With Repos And Reverses
• Types of repos and reverses
• Classic
• Buy/sell-back
• Securities lending
• Economic similarities to FX swaps
Exercise: calculating repo prices
• General collateral
• Specific repo
• Specials
Case Study
The uses of repos and reverses
Introduction To Futures, Options And Other
Derivatives
• Bond Futures
• Exchange-traded versus OTC
• Margining with a clearing house
• Cash and carry arbitrage
• Physical delivery versus cash settlement
• Price factor and cheapest-to-deliver
• Uses of futures
- trading
- hedging
• Bond Options
• Calls and puts
• Physical delivery versus cash settlement
• Understanding the main differences and
when each instrument should be used
Use Strips To Exploit Arbitrage Opportunities
• TIGRs, CATS, LIONs, GATORS,
COUGARS, DOGS, TRS STRIPS
• Stripping and reconstituting bonds
• Pricing examples
Asset-Backed Securities
• Collateralised Mortgage Obligations (CMO)
• Credit Card Receivables (CARD’s)
• Car Credit Loans (CAR’s)
• Star Bonds
• Determining swap spreads The IFF School of Bonds
Exercise: establishing the boundaries of the
swap market with respect to the bond
& Fixed Income
market
• Credit arbitrage BENEFIT FROM 1-TO-1
• The relationship between swap COACHING
spreads and bond spreads
Case Study
This unique training
The impact of changes in swap spreads on
the bond markets programme will provide you
Asset Swaps And The Bond Markets with the opportunity to
• The drivers of the asset swap market receive 1-to-1 training from
• Credit arbitrage our expert faculty. You will
• Parallels with liability swaps
receive a questionnaire in
Exercise: calculating asset swap prices
advance of the course
• Bond market liquidity and asset swaps
• Using asset swaps as a benchmark
where you are asked to
outline any specific areas or
Case Study
topics where you would like
Determining whether bonds meet investor
criteria for asset swaps to receive personal
coaching.
Case Study: Swap Pricing and Valuation
• Valuation of the Floating Rate Leg
Upon receipt of your
• Valuation of the Fixed Rate Leg
• Pricing an Asset Swap for Par Bonds questionnaire we will
• Pricing an Asset Swap for Premium Bonds structure your requirements
• Pricing an Asset Swap for Discounted
Bonds into the course material and
schedule a time for you to
Case Study: Debt Origination
• Issuing Bonds under Fixed Price Re-offer
receive your coaching.
• Syndication
• Setting the Re-offer Spread For more information,
• Finding the Re-offer Yield
please call us on
• Issue Price
• All-in-costs to Borrower +44 (0) 20 7915 5602
• Spread over Treasuries
• Adding the Swap and reaching sub-libor
funding

Term Structure Of Interest Rates Summary / Review

• The Yield Curve • “A swap is not a swap”
• The Par Curve
• The Zero Curve
• Bootstrapping
• The importance of par rates
• The Forward Curve
• Calculating implied forward rates
• Creating a Term Structure of Interest Rate

Case Study: Bootstrapping

Building a zero-coupon curve

Liability Swaps And The Bond Markets

• Valuing fixed and floating rate cash flows
•
•
•
Valuing swaps
Single and multiple rates
Forwards and zero curves
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 Fundamentals of
Global Bond Markets
A foundation guide to mastering the practicalities of the global
bond markets

Overview Of Debt Capital Markets Bond Pricing Revisited

“Enthusiastic course leader,
• Assessing the main products and • Bond Stripping
excellent presentation” their differences • Bootstrapping and Zero-Coupon Pricing
H.v.W., NIB Capital Bank - loans • Input Factors
- bonds
- equities Term-Structure Of Interest Rates
- convertible bonds • The yield curve
- warrants • Flat yield curve and negative
- dual maturity bonds versus positive yield curve
- securitisation • The par curve
Course Dates • The zero curve
• The importance of Capital
8-9 November 2004 Adequacy requirements • The forward curve

14-15 March 2005
Course Highlights
This course has been
created to provide you with
an in-depth, practical
assessment on the very
latest cutting-edge
strategies for pricing,
hedging and trading bonds,
including zero-coupon
pricing, duration analysis,
strips and swaps. You will
come away with a new set
of skills that can be used
directly and profitably within
your own organisation
The Structure Of Global Bond Markets
• Comparing the domestic, new and
international markets
• Identifying and understanding
key features, products and players
- domestic bonds
- foreign bonds
- eurobonds
- global bonds
Understanding Bond Mathematics
• Time value of money
• Present value and future value
• Compounding and discounting
• Short-term calculations
• Long-term calculations
Pricing Bonds
• Pricing an annual bond
• Pricing a semi-annual bond
• Accrued interest (Street vs Fed method)
• Understanding assumptions
inherent in interest compounding
Sensitivity Analysis
• Understanding duration
• Calculating duration
• Break-even analysis
• Modified duration
• Hedging using duration
• Measuring convexity
Strips And Asset-Backed Securities
• Tigers, Lions, Cats, Dogs and Strips
• Collateralised Mortgage Obligations (CMO)
• Cars, Film, Credit Cards
• Star Bonds
Introduction To Interest Rate And Long-Term
Currency Swaps
• Definitions
• Types of swaps
- coupon swaps
- basis swaps
• Uses of swaps
- speculation
- hedging
- asset and liability management
- arbitrage (for borrowers and investors)
- synthetics
The Fundamentals Of Swap Pricing And
Valuation
• Valuing the floating rate leg
• Valuing the fixed rate leg
• Input factors
• Swap rates and yield to maturity
Asset Swaps: Linking Bonds And Swaps For
Investors
• Investment arbitrage
• Single currency arbitrage
• Cross-currency arbitrage
New Issue Arbitrage: Linking Bonds And
Swaps For Borrowers
• The debt origination process
• Pricing a new Eurobond issue
under fixed price re-offer
• The advantage of adding a swap to a bond

☎ Booking Hotline
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38 www.iff-training.com
Mastering Bonds Trading
Learn proven practical strategies and techniques for successful
bond trading

Hedging Bond Cashflows Structure Analysis

• ISMA’s Rules 803.1 & 803.2 • An overview of the major
“The flow of information
• Using forward rates characteristics of bond structures provided was good. Very
• Advantages of zero-coupon rates - bullets
- callables
knowledgeable couse leader”
Practical Session - sinking funds R.A., Aviva
Analysing the pricing principles used in the - putables
valuation of FRNs. - step-ups
- zeros
Practical Session - globals
Analysing a reverse floater. Participants will - 144As
asses the value of bond cash flows in terms - FRNs Course Dates
of their sensitivity to interest rate risk.
OAS Analysis 10-12 November 2004
Structuring The Cash Flows • Using OAS in the corporate bond market
• Hedging the bond 16-18 March 2005
• Managing the hedge Corporate Curve Analysis
• The issuer’s perspective • Credit derivatives
• The investor’s perspective - total return swaps
• The arranger’s perspective - credit default swaps
- shorting the market
Practical Construction Of Yield Curves
• Using the yield to maturity Practical Session: Credit Analysis
• Spot curves Participants will examine bond issues from
Course Highlights
• Forward curves the following perspectives: Gaining a competitive edge
• Constructing a zero coupon curve • The advantages and disadvantages of the
• Discount factors bonds to investors in the global bonds arena is
• Calculating forward prices • The advantages and
• Influences on forward prices
essential to success. The
disadvantages to the borrower
• Relative position of the forward curve • The risks and rewards for the bookrunner course will teach you a
• Forwards and expectations • Hedging strategies for secondary
• Bond market arbitrage market trading wealth of practical
Practical Session strategies, skills and
Arbitrage Trades
Using zeros, forwards and maturity rates to • New issue arbitrage techniques that will help
value bonds. Participants will explore the • The primary market you maximise the results
arbitrage opportunities created in the bond • Pricing fixed and floating rate debt
and swap markets. • Credit arbitrage from every trade. The
• Factors driving credit spreads programme combines the
Sensitivity And Modified Duration • The relationship between swap
• Maturity risk spreads and bond spreads perfect synergy between
• The present value of a basis point • Secondary market arbitrage
• The dollar value of a basis point theoretical knowledge and
• Modified duration Practical Session practical market
• Using modified duration to hedge bond New issue arbitrage
positions understanding - with an
Hedging Directional And Curve Plays
Corporate Relative Value Analysis emphasis on applications
• Market positions
• Total returns you will utilise in the
• Steepening/flattening trades
• Primary markets
• Bonds against swaps markets.
• Demand
• Dynamic hedging
• Liquidity and trading
• The effect of benchmarking
- secondary trades
- explaining how a parallel shift of the yield
- yield/spread pickup trades
curve affects the performance of the
- credit upside trades
portfolio vs. the benchmark
- credit defence trades
- understanding the convexity effect
- new issue swaps
- sector-rotation trades Practical Session
- curve-adjustment trades
- structure trades
Analysing the effect of an upside parallel
- cash flow reinvestment shift of the yield curve.
- bias for activity Practical Session
- portfolio constraints
- story disagreement Creating par/par structures.
- buy-and-hold
- administrative burdens
Practical Session
- seasonality Repackaging a reverse FRN.
Spread Analysis

☎
• Sector rich/cheap analysis
Booking Hotline
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www.iff-training.com 39

“Practical course and
excellent course leader”
M.P., Dexia Bank
Course Dates
13-14 September 2004
7-8 March 2005
Course Dates
A comprehensive yet
practical guide to valuing
option components,
hedging strategies,
sophisticated financial
engineering techniques and
risk management tools. The
first part of the course will
focus on consolidating the
fundamental aspects of
convertible bonds;
thereafter the course will
concentrate on the
valuation and hedging of
convertible bonds and on
some of the more
sophisticated structures
☎ Booking Hotline
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40 www.iff-training.com
Fundamentals of
Convertible Bonds
Gain a comprehensive understanding of these versatile and
exciting instruments
INTRODUCTION TO CONVERTIBLE BONDS
(CBs) CBs - A First Look
• Definition of a CB
• Historical perspective
• CB markets - Euro and Domestic
• A simple CB model
CB Pricing Conventions
• Bond market notation
• Yields curve terminology
• Credit ratings
Basic CB Features - An Overview
• Conversion terms
• Embedded call option
• Embedded put option
• The foreign exchange element
• Reflex clauses
The Rationale For CB Issue
• Tax effects of CB for issuer
• Competitive CB costs of financing for issuer
• The debt/equity spectrum
• The reason for the embedded call
• Why some corporations do not call
Modelling The Security Price
• The simple additive n-step security price
model
• The simple multiplicative n-step security
model
• Separating the volatility and drift
component of a security price process
• The role of the probability parameter in the
price process
Modelling A CB
• The one-period binomial CB model
• The two-period binomial CB model
• Extension to n-period CB model
• Preliminary examination of CB sensitivities
Introducing The Complications Into The CB
Model
• How to incorporate dividends
• Including coupons
• Introducing the issuer’s call option
• Introducing the investor’s put option
What Interest Rate To Use In CB Pricing?
• CB models typically use the wrong interest
rate
• When the long bond rate is the
appropriate rate
• When the overnight financing rate is the
appropriate rate
• When to use a mixture of interest rates
• Hedging out interest rate risk
MORE COMPLEX ASPECTS OF CBs
Modelling Uncertain Interest Rates
• The role of swaps in interest rate risk
management
• The problems with stochastic interest rates
• Problems caused by equity price/interest
rate correlation
The Foreign Exchange Problem
• Non domestic CBs have FX risk
• How classic CB models misprice the FX
risk
• Hedging out the FX risk
The Issue Of Dilution
• The classical treatment of dilution
• Modelling equity warrants
• How warrant models help explain the
dilution problem
• Modelling the value of the firm
The Complete CB Evaluation Package
• Real examples of CB prices verses model
prices
• Finding the implied volatility of a CB and its
role in valuation
• Estimating all the “Greeks”
• The drawbacks of the CB model - when to
override the inputs
CB Risk Management And The Simulation
Process
• When will a CB be converted?
• Using advanced valuation and risk
management techniques
• VAR hedging
• Portfolio effects on credit rating
Other CB Type Structures
• PERCS
• LYONS
• DECS
• Callable convertible preferred stocks
• Step-up CBS
• Mandatory CBs
• Premium redemption CBs
• CBs with Refix Clauses
The course will show even the non
mathematical delegates how to build
a simple CB model on a computer
spreadsheet. More complex practical
work will involve each participant
producing the standard risk/reward
profiles and all the usual “Greek”
sensitivities. The mix of theoretical
and hands on practical work will be
approximately 50-50.
Project Finance
Learn how to formulate highly innovative strategies and complete
a successful deal every time
Overview Of Project Finance
• Origins and rationale of project finance
• Definition of a project - the
distinguishing features
• Rationale of project finance
• What kinds of projects are financed
• Trends in project finance
Stages In The Deal
• Stage 1: The Feasibility Study
• Stage 2: Planning
• Stage 3: Arranging and Structuring
the Finance
• The Offering Memorandum
Financing applicable terms
• Stage 4: Monitoring the Financing
Ownership Structures
• Considerations in Selecting a Structure
• Project Finance Structures
- Special Purpose Vehicle (‘SPV’)
- Company
- General Partnerships
- Limited Partnerships
- Joint Ventures (‘JVs’)
- European Economic Interest
Grouping (EEIG)
Different Strategies For Identifying And
Assessing Risk
• Classification of Risks
• Due diligence process
Dealing With Risk Effectively
• Methods of mitigating risk
• Turnkey construction contracts
• Enforcement of liquidated
damages clauses
• Bonding
• Retentions
• Progress certification
• Supply contracts
• Offtake contracts
• Investment licences and
concession agreements
• Financial phasing
• Incentive-linked contracts
• ECA insurances
• Tax issues
• Accounting issues
• Managing the risks when not insurable
• Various permutations for recourse
Sources Of Funding For Projects
• Organisational Sources
• Types of Equity and Debt
• Methods of Obtaining Finance
• Rule 144A Offerings in the US
Credit Enhancement And Security
“Very good seminar leader,
• Guarantees
• Insurance solid knowledge of the
• Other Forms of Credit Enhancement topics and made many
• Collateral references to real cases”
Project Contracts A.B., Tetra Laval
• Host country agreements
• Construction contracts
• Input contracts
Course Dates
• Operation and maintenance
agreements (“O&M contracts”) 9-11 August 2004
• Off-take contracts
• Credit/loan agreements
13-15 December 2004
• Covenants
Project Documentation
• Underlying documents
• Finance documents
• Security documents Course Highlights
• Supporting documentation This practical course will
• Experts’ reports and legal opinions
cover the essential steps in
Constructing The Project Cashflows - What identifying the critical
You Must Consider components of a project
• Constructing the cashflows
• Discount rates and WACC formulation
and assessing the
• Assessing cash flow volatilities associated risk. You will
and sensitivities learn the structural options
• Isolating and structuring around
residual volatilities for dealing with this risk,
including the various
Accurately Evaluating Project Cash Flows:
The Players’ Viewpoint
contracts, certification and
• Debt financiers essential documentation
• Mezzanine financiers issues; the complexities of
• Sponsors and equity participants construction and evaluation
Case Study: Managing the process effectively of the project cashflows
- pulling everything together and staying on from the viewpoint of all
target. With the complexity of projects and
participants; and the capital
the necessary interrelated documentation,
the lengthy time periods and the multiplicity structuring issues.
of parties involved, managing the entire
process of project financing is often an
administrative headache, and at worst can
become a runaway train.
Case Study: Practical case studies in leading
edge project financing. In order to bring to
the fore all the complexities that a project
financing process can hold, at least two case
studies will be covered.
☎ Booking Hotline
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www.iff-training.com 41

“Excellent build up from basic
principles through to case
studies. Impressive knowledge
of the course leader”
A.H., CSX World Terminals
Course Dates
12-16 July 2004
8-12 November 2004
14-18 March 2005
Course Highlights
This is a residential training
course specially
constructed to provide
project finance
professionals with an
unrivalled understanding of
the mechanics and
techniques essential for
success in today’s volatile
marketplace. Over five
intensive days, you will
benefit from in-depth
market focused tuition
designed to optimise your
skills and increase your
effectiveness within all
aspect of project finance.
☎
Booking Hotline
+44 (0) 20 7915 5602
42 www.iff-training.com
School of Project Finance
The most effective training programme for project finance
professionals
Introductory Matters
• Features of project finance
- the limitation of recourse
- the due diligences required
- the entity
- debt risk -vs- commercial risk
- the role of contract
- the role of security
• Rationale for selecting project finance
PFI, BOOT and Other Infrastructure Projects
• Infrastructure and PFI, contrasted with
industrial/extractive industry projects
• The Treasury Taskforce
• FRS 5, value for money, and the Treaty of
Maastricht
• Public sector procurement
• The structure of concessions
Contracts and Enforcement
• Local law and the conflict of laws
• Dispute resolution
• Arbitration and the NY Convention
• Privity of contract and direct agreements
• Termination clauses, compensation, step-in
rights
Case Study 1: PFI - Transport Project
Pre-Completion
• Standard form contracts
• Liquidited damages, performance bonds
and retentions
• Fixed price, lump sum, variations, liquidity
• Turnkey EPC structures
• Insurance policies required, assignment,
transparency, cut-through
• Commissioning, ramp-up, latent defects
• Certifications, progress payment structures
• Completion guarantees, refinancing risk
Market and Operating Risks
• Revenue structures
• Take-or-pay agreements
• Exclusions
• Implications of market volatility
• Cost-plus revenue derivations
• Currency exposures
• Merchant power
Case Study 2: Power Project
Project Cashflow
• Risk
• Free Cash Flow
• Cash management issues
• Financial covenants and project cashflow
IRRs
• Liquidity
Case Study 3: LNG Project
Financier Perspective
• Cash available for debt service (CADS)
• Loan Life Cover, Debt Service Cover
• Surplus cash flows, lock-up, cash sweeps
• Waterfall/cascade, reserve accounts
• Contingency reserves
• Security
Case Study 4: Infrastructure Project
Case Study 5: PFI - Hospital Project
Project Cashflow Models
• Project dynamics, origins of cashflow
volatility
• Limitations of predictive modelling
• Modelling of cost structures
• Currency and escalation
• Model layout
The Model as a tool for project structuring
• The volatility of the cashflow
• Allocation of risks/cashflow volatilities
• Scenario testing
• Routines for assisting third party
negotiations
Demonstration Exercises
• Pre-completion
• Depreciation
• Amortisation
• Currency schism
• Flexible timelining
• Calculation of returns
• Sensitivity analysis and scenarios
Other Modelling Issues
• Circular references
• Macros
Optional Evening Workshop - Free of Charge
Practical Modelling Master-Class
For participants who are actively involved in
modelling and can benefit from practical and
hands-on computer-based exercises, this
optional evening session will involve a series
of exercises, which are designed to develop
skills in the area of implementing sensitivity
and scenario analysis.
Those wishing to participate in the master-
class are encouraged to bring their own
laptop/notebook, or alternatively request for
a laptop to be provided for this session at
the time of course registration.
Case Study 6: Emerging Market
Infrastructure Project
Debt Financing The IFF School of
• Designing structures to match cashflows
Project Finance
• Default
• Security structures, security trusts, share
pledges BENEFIT FROM 1-TO-1
• ‘Common’ agreements COACHING
• Mortgage debentures

Case Study 7: Gas Project - Bond Funded

This unique training
Bond Financing programme will provide you
• Cross-border bonds with the opportunity to
• Rule 144A
• Rating agencies
receive 1-to-1 training from
• High yield bonds in limited recourse our expert faculty. You will
projects receive a questionnaire in
• Piercing the sovereign ceiling
• Domestic bonds
advance of the course
• Credit enhancement where you are asked to
• Why use bond financing outline any specific areas or
Case Study 8: High Yield Bond, Mining topics where you would like
Project to receive personal
coaching.
Case Study 9: Credit-Enhanced Infrastructure
Project
Upon receipt of your
Letters Of Credit And Swaps
questionnaire we will
• Separating risk-taking and funding
• Disintermediation structure your requirements
• Use for currency exposures in emerging into the course material and
markets
schedule a time for you to
• Interest rate swaps with project finance
complications receive your coaching.

Case Study 10: Leisure and Property Project

For more information,
Sponsor Perspective please call us on
• Investment returns +44 (0) 20 7915 5602
• Excel functions for discounting – IRR, MIRR,
XIRR, NPV, XNPV, EXP
• Equity IRR
• Drivers of equity IRR
• The discount rate

Case Study 11: Mining Project

Export Credit Agencies

• Buyer credits
• Political and commercial risk cover
• Concessional finance rates
• Lines of credit
• Multilateral agencies

Case Study 12: Oil & Pipeline Project

Securitisation and Related Issues

• Quarantining SPVs

☎
• Bankruptcy-remoteness
• Support, recourse or enhancement
Booking Hotline
The Golden Rules of Project Finance +44 (0) 20 7915 5602
www.iff-training.com 43

“Good course leader. All the
information covered was
useful”
L.S., IKB Deutsche Bank
Course Dates
14-15 October 2004
3-4 March 2005
Course Highlights
Focusing on all the key
issues of project finance law,
including dispute resolution,
PFI and BOT contracts, loan
agreements and security, this
course will prove invaluable
in increasing your practical
knowledge and
understanding of the core
legal issues surrounding
project finance. You will
benefit from the expertise of
a professional practitioner
and a unique teaching style
that will dramatically improve
your understanding in all
aspects of the project
finance legal processes.
☎
Booking Hotline
+44 (0) 20 7915 5602
44 www.iff-training.com
Legal Aspects of Project
Finance
Get to grips with the legal complexities of modern project
financing
Introduction
• The differences between conventional
financing and project finance
• Limitation-of-liability objectives
• Risk and the role of contracts
• The role of security
• Selection of vehicle for the project finance
entity
• A review of the various contracts typically
found in limited recourse financing
Legal Systems, Litigation, Jurisdiction &
Enforcement
• Common law of contract
• Law of the contract
• Jurisdiction and enforcement in cross-
border transactions
• Sovereign immunity
Dispute Resolution
• Administration of the contract
• Expert mediation
• International arbitration
• The New York convention
PFI And BOT Contracts
• Characteristics of BOT and PFI based
projects
• The reasons for PFI
• Appendix F of FRS 5
• The nature and potential consequences of
the pre-completion risks
• The tendering process
• Shareholder agreements
• Non-conforming tenders
• The Standard Form PFI Contract – review
structure and framework
• Termination, step-in, compensation
Construction
• Incentives and liquidated damages
• Securing of performance and damages
payment
• The "fixed price" clause
• The treatment of variation orders
• FIDIC and other EPC Turnkey contract
formats – review structure and framework
• Extra responsibilities of turnkey contractors
• Payments structure
• Certification procedures
• Force majeure
• Completion guarantees
Case Study: Delegates will be divided in
groups and will explore the important
negotiation issues and factors between the
parties involved, i.e. contracting firm and
SPV
Off-take Agreements
• Contractually-derived revenue structures
- performance risk
- incentive structures
- pass-throughs
- basis risk and impact of macroeconomics
• Market-driven revenue structures
- volume and price
- mechanisms for smoothing cashflow
profile
- exclusions and force majeure
- re-negotiation when contract and
commercial realities diverge
- counterparty credit and credit
enhancement features
Loan Agreements and Security
• Syndicated bank loan – review structure
and framework
• Drawdown restrictions
• Other conditions precedent
• The audited cashflow model
• Control and reserve accounts
• Cash flow lockups and financial covenants
• Cash sweep mechanisms
• Inter-creditor agreements
• The role of the agent in syndicated bank
financing
• Fixed and floating charges
• Contractual assignments
• Direct agreements
Case Study: Delegates will be divided in
groups and will explore the important
negotiation issues and factors between the
parties involved, i.e. financing group and
SPV
Other Financing Issues
• Differences between loan agreements and
bond indentures
• Lender liability for environmental risks
• Use of security trusts
• Restructuring vs insolvency
• Securitisation
• Unincorporated joint ventures
Other Issues
• Political risk insurance, ECAs and MFIs
• General insurance during pre-completion
and operating phases
• Insurance issues in emerging markets
• Management agreements (O&M)
Project Finance Modelling

Your essential practical guide to modelling project finance risks

The Importance Of The Project Cash Flow Particular Modelling Issues

“The course leader was very
• The limitation of recourse • Dealing with multiple currencies
• The partial allocation of risk - testing for currency dislocation knowledgeable on the topic.
• Deciding which risks should be allocated - testing for PPP drift He made learning very interesting.
• Quantification of the risk • Hyperinflation Excellent Excel tips”
• Quantification of the structuring • IRR and NPV calculations –
and financing solutions problems and solutions
A.M., Commission for
• XNPV, XIRR, MIRR Aviation Regulation
Free Cash Flow • Circular references
• Its central importance • Introducing flexible time dimensions
• Cash adequacy, recourse, standby
Course Dates
• Modelling cost structures with
and liquidity sophistication 18-20 August 2004
• Financier coverage ratios, cash • Debt amortisation schedules
available for debt service • Depreciation of fixed assets
6-8 December 2004
• Project IRR and equity IRR • Control accounts – waterfall/cascade
• FCF role in investment decision process • Status checking
• Project dynamics
Manipulating Data
The Cash Flow Design
• Differences between sensitivity
• Problems with prediction and scenarios Course Highlights
• Establishing design tolerance • Limitations of “choose” and “if” functions A solid understanding of
• The modelling of unitary businesses • Excel’s scenario manager
• Modelling the cost structure • An alternative suggestion
modelling techniques is
• Dealing with escalation/inflation • Excel’s solver invaluable for today’s
• Dealing with non-correlated variables • Goal seek project finance
• Interactive data tables
Pre-completion Elements professionals. This course
• Automating tasks and sensitivities
• Establishing parameters for cost with macros will identify and offer
• Overrun and slippage • Customised data entry forms specific solutions to
• Isolating characteristics of each
cost element problems associated with
• Turnkey EPC, the extent of cost building project finance
overrun absorption
models, and will enable you
• Liquidated damages
• Completion guarantees to gain the practical
• Standby financing expertise required to design
Worksheet Layout And Style and build your own tailored
• Get practical tips on: models. The course is
- worksheet organisation heavily hands-on and PC
- use of colour
based, and a familiarity with
- naming of cells
- location of input variables spreadsheets is required.
- status checking
- user-friendliness
- logging changes
- graphs
- view manager
- grouping data
- printing

☎
The course will be structured so that an equal amount of time will be dedicated to: verbal
presentation and explanation; demonstration of modelling issues by the instructor using LCD
projector; practical hands-on exercises where participants will apply modelling techniques Booking Hotline
using templates provided. +44 (0) 20 7915 5602
www.iff-training.com 45

“Certainly one of the best
courses I have attended.
High quality lecturer”
A.K., CDC Globeleq
Course Dates
21-23 July 2004
1-3 December 2004
4-6 May 2005
Course Highlights
This intensive training
course will enhance your
practical modelling skills in
international corporate
structuring and MBO’s. You
will learn how to design a
model using conventional
and new approaches; how
to identify and control key
sensitivities through
advanced spreadsheet
simulation; how to build risk
into your model to enhance
the decision making
process, by offering you
practical tips for checking
and debugging the model.
☎
Booking Hotline
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46 www.iff-training.com
Financial Modelling
Using Excel
Improve your modelling skills in transaction structuring, valuation
and MBO’s and achieve an optimal decision making process
Illustration of Model Types
• Cashflow forecasting and DCF valuation
models using publicly available information
• Reverse-flow forecasting models for
emerging markets or sectors, where the
output is the business plan that needs to be
achieved
• Transaction structuring models (e.g. project
finance, MBOs, LBOs) to capture volatility
and structural robustness as well as IRR
• Statistical probability models
– simulations
• Pricing models
Model Design
• Identifying the purpose and mode of use of
the model
• Designing the analysis worksheet
• Determining the flexibilities required and the
variable inputs
• Best practice issues:
- maintaining a log
- status worksheet
- hard coding, SE flow, consistent formulae
- naming conventions, formatting
conventions
- consistent timelines, flexibility to change
timelines
- circular references
- macros
Forecasting Corporate Cashflows
• Modelling logic
• Separating volume and price drivers
• Operating cost drivers
• Capital investment, capacity and output
linkages
• Investment expenditure drivers
• Financing interactions
Accountancy Impacts
• Deriving depreciation
• Tax treatment; the cash effect of taxes;
deferred tax
ADVANCED SPREADSHEET SKILLS
Optional Pre-Course Workshop
If you would like to ‘brush-up’ on your
spreadsheet skills prior to attending the
modelling courses, this optional pre-course
workshop will get you up to speed. The
emphasis of the workshop is to improve
your knowledge on spreadsheet
manipulation and applications. Topics
covered include:
• Processing capital allowances in place of
depreciation
• Capitalisations and provisions
• Deriving distributable reserves
Valuations
• Applying valuation techniques to the
corporate cashflow that has been prepared
• Discounting free cashflow
• Sensitising the valuation range
• Analysis tools – data tables, optimisation,
goal seek
• Decision trees
• XIRR, MIRR, XNPV, EXP
• Graphing comparatives for pricing
estimation
Transaction Structuring
• The central focus of cashflow volatility
• Asymmetric assumption-setting to stress
test financing structures
• Adapting finance structures dynamically
• Establishing, running and analysing
scenarios
• Shifting time frames with ease
Management Buy-Outs
• Exit timing and exit multiples
• Modelling multiple tiers of financing
interactively
• Equity ratchets
Various Modelling Issues
• Interfacing statistical probability models to
deterministic models
As some of the specialist applications may
have limited relevance for some participants,
in the time dedicated to practical work,
delegates will have considerable flexibility to
focus on the modelling applications that
have the greatest relevance to their
objectives.
• Best practice guidelines for successful
spreadsheets
• Identifying and eliminating errors in the
worksheet
• Creating and using worksheet outlines
• Linking and consolidating worksheets
• Advanced formulae
• Solving ‘what if’ problems and analysing
data
• Macros for managing, viewing and
printing your work
Cashflow CDOs and
Synthetic Structures
A practical guide to the CDOs market, equipping you with the latest
strategies and techniques for structuring, pricing and investing in
cashflow CDOs and synthetic structures

Overview of the securitisation market Rating agency approach to CDOs

“The whole course was useful
• Development of the global asset-backed • Impact of recent defaults in the market
securities market • Rating agency models to assess default
and really helpful. The course
• European performance of asset-backed and credit loss leader has excellent knowldge
securities over the past year • Collateral eligibility constraints and tutoring skills”
• Recent problems in the market, use of off- • Effect of ramp up periods
balance sheet SPVs and securitisation • Over collateralisation and interest coverage G.O., CIBC World Markets
• Identification of the key requirements for a tests
good ABS deal • Rating synthetic CDO structures
• Development of the CDO market and the • Using Monte Carlo simulations
use of credit derivatives Course Dates
• Scenario default rates
• Main drivers for the increased use of CDO 12-13 July 2004
• Modelling asset class correlations
structures
• Assessing the collateral managers
• Impact of defaults in the CDO market
• Multi jurisdictional models
27-28 October 2004
Case study: A typical CDO structure 3-4 March 2005
Case study: Example of a recent CDO rating
Overview of CDO structures
Use of credit derivative structures within
• Cashflow CBOs and CLOs
CDOs
- structured vehicles that issue different Course Highlights
tranches of liabilities and use the net • Overview of the credit derivative products
proceeds to purchase the pool of assets - Default swaps This intensive course is
• Arbitrage CDOs - First default swaps
- Basket swaps
designed to fully cover and
- a mismatch between the interest terms of
the assets and those of the liabilities - Credit linked notes clearly explain the
• Synthetic CDOs - Total return swaps fundamental features and
- structured vehicles that use credit - Credit spread products
investment characteristics
derivatives to achieve the same credit- • Pricing credit derivatives
risk transfer as cashflow CDOs, without - Asset swap pricing of a wide range of CDO
physically transferring the assets - Option pricing models structures including
• Market Value CDOs - Pricing the junior and senior swaps
- similar to cashflow CDOs, but the SPV
cashflow CDOs, market
• Documentation and legal issues
does not issue liabilities based on the par
- Overview of ISDA guidelines
value CDOs and synthetic
value of the assets but on an advance
• Credit triggers and settlement procedures CDOs. Benefit by attending
rate associated with each type of asset
purchased • Infrastructure requirements to run a this unique course which
• Cashflow Master Trust synthetic CDO
will not only address the
- a properly implemented master trust • Credit events and recoveries
structure should allow an issuer to sell structuring and pricing
Case study: Examples of recent synthetic
multiple series from the same trust, with issues but will also cover
each series sharing the credit risk and CDO deals featuring default swaps and
cashflow from one large pool of assets credit-linked notes the rating agencies’
approach to CDOs, the
Case study: Examples of the various CDO Structural issues within CDOs
responsibility of the
structures • Choice of basic structure and collateral
• Risk-return characteristics collateral manager, the risk-
CDOs versus traditional asset backed • Credit enhancement techniques for CDOs return profile of each
structures • Investment grade CDOs tranche of CBO/CLO
• Issuer motivations • Ramp up period
• Collateral manager objectives transactions and the role of
• Collateral manager
• Investor opportunities - incentives and performance monitoring CDOs in an investment
• Pricing CDOs tranches from an investor’s - management of defaults and recoveries portfolio.
perspective • Effect of Basel II on cashflow and synthetic
• Identifying risks of investing in CDO CDO market
structures - minimum capital requirements
• The role of CDOs in an investment portfolio - supervisory review of capital adequacy
• Motivations for using synthetic structures • Analysing the performance of CDO
tranches from an investor’s perspective
Case study: Illustrating the choice between a
cashflow CDO and synthetic structure Case study: Analysing the performance
characteristics of a recent high yield CDO
structure ☎ Booking Hotline
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“Excellent general overview.
For me it was very well
pitched, showing the variety
and breadth of the industry
while going into plenty of
detail through case studies”
G.S., ING Bank
Course Dates
22-23 July 2004
6-7 December 2004
7-8 April 2005
Course Highlights
This course will cover the
essential aspects of the
securitisation process from
the perspective of all parties
involved. In particular, it will
focus on the motivation
behind the decision to
securitise along with the
criteria for a suitable
receivables pool. You will
also learn how to conduct a
comprehensive contracts and
systems analysis and review;
getting the right instrument
for the right market; the use
of multi-seller conduits;
forms of risk and the risk
management techniques
available; credit
enhancement; and the
essential legal, accounting
and tax issues.
☎
Booking Hotline
+44 (0) 20 7915 5602
48 www.iff-training.com
Asset Securitisation
Your guide to innovative deals for all parties involved
STRATEGIES AND FRAMEWORK Credit Enhancement
• Reasons behind credit enhancement
Introduction: The State Of Play
• External sources with examples
• The history and growth of securitisation in • Internal sources with examples
Europe in the last 10 years • Using the originator’s own credit standing
• Recent developments and trends • Choosing the optimum:
in the market factors to take into account
• Standard deal technology • Analysis of credit enhancement decisions in
The players, their contributions and recent deals and the logic behind them and
commitments. their performance
LIQUIDITY MANAGEMENT
Case Study: Rationale for securitisation:
benefits for originator The Rating Process
• The role of rating agencies and who they are
Case study: Recognising the opportunity for
• The benefits each different agency can bring
securitisation
• Compliance with the rating
agencies’ requirements
Case study: Preparing for first-time
- quality of assets
securitisation: creating the right internal
- systems and procedures
environment
• How to manage the rating process
Servicing Requirements
Regulatory
• Servicing agreements
• UK regulatory issues
• Third party and back-up servicing
• European regulatory issues
• The importance of segregating cashflows
• The importance of managing cashflows Legal
• Reporting on the performance of • Structuring the SPV
securitised assets to investors
• Effectively transferring or assigning
and credit enhancers
the contracts
• Potential benefits from servicing charges
• Profit extraction
Funding The Assets: The Most Common • Ongoing involvement
Routes Accounting
• FRN’s
• Accounting objectives to be achieved
• Conduit fundings
- the on or off balance sheet decision
• Asset backed commercial paper (ABCP)
• FRS 5 - what can be achieved and the
• Private placements difficulties of each method
• Bank loans • IASC / European standards?
• Combinations
• Cross border funding opportunities Tax Issues
• Corporation tax
Multi Seller Conduits • Advanced corporation tax
• What they are • Stamp duty
• Who uses them • Withholding tax
• Structure • VAT
• The growth in use of multi seller conduits • The relevance of each to the
• Suitable assets different types of asset
• Cost calculations • Approaches used to get round these issues
• Benefits • MIRAS
• Conduit management • Profit extraction
• Examples • Tax symmetries and asymmetries
• Hosepipes
DETAILED EXECUTION PROCESSES
Relevance Of Securitisation Technology To
Identification And Mitigation Of Risks For Other Financing Methods/Structures
The Various Parties Involved
• Acquisition financing
• Forms of risk • Project financing
• Risk management techniques available • Private finance initiative (PFI)
• Execution strategy • Trade finance
Securitisation Cash Flow
Modelling
A practical forum to learn the best practice methods of planning and
structuring a robust cash flow model for securitisation

Overview of the Securitisations Market Exercise: Cash flow modelling of lease

“Good overview of the
• Key market factors receivable case
- Europe securitisation market and
- U.S. The Rating Agencies’ Requirements standards in terms of
- Asia • Standard & Poors, Moodys, Fitch and Duff
& Phelps
rating and modelling”
- Latin America
• S&P approach J.B., ING BHF Bank
A Review of Securitised Products - the “weak-link” approach
• Amortising loans - reviewing S&P rules
- mortgage-related products (MBSs and • Moodys approach
CMOs) - the “building block” approach
Course Dates
- automobile loans (CARs) - the “noteholder value” approach 4-5 October 2004
- commercial mortgages
- manufactured housing loans Real-life Case Study 24-25 February 2005
- student loans
Detailed Cash Flow Modelling for a
- commercial debt obligations (CDOs)
Residential Mortgage Backed Security
- commercial loan obligations (CLOs)
(RMBS)
- commercial bond obligations (CBOs)
• Revolving receivables
This case study will review which assets or
- credit cards (CARDs)
cash flow can be securitised, the Course Highlights
quantitative and qualitative risks involved,
- lease receivables the determination of loss and stress The aim of this course is to
- trade receivables scenarios and correlation. The case study provide delegates with a
• Royalties and annuity-type cash flows will describe and analyse a detailed cash
• Payment structure of ABS deals flow model for a RMBS transaction. The practical forum to explore
- impact of pre-payments following issues will be discussed: the different tools and
- revolving structures • Structuring Issues
techniques used to build a
- early amortisation triggers • Underlying collateral – Eligibility Criteria
• Cash-flow features cash flow model capable of
- clean-up calls
- revolving period assessing the feasibility and
Cash Flow Modelling - accumulation period success of a transaction.
(Delegates will develop a proprietary - amortisation period
spreadsheet model using Excel) - prepayment
• The purpose of cash flow modelling - early termination
• Key areas of risk - bullet X AMO
- sovereign risk - hedging
- credit risk Finally RMBS deals will be compared with
- market risk other selected transactions including
• Simulating loss scenarios for different CDO/CLO, ABS – an aircraft securitisation
assets and other examples.
• Stress test scenarios for different types of
The Use of Cash Flow Modelling for
asset-backed securities
Different Types of Securitisation
• Testing the transaction structure under
different stress environments: • Identifying modelling structures for:
- credit loss levels - unsecured loan-backed transactions
- delinquency levels - residential mortgage-backed transactions
- interest rates - non-performing loan-backed transactions
- corporation tax rate - CDO-type transactions
- Vat rates • Analysing cash flows of CBOs
• Dealing with different payment frequencies • CBO deal case study
• Pricing the deal
Global and Regulatory Issues
• Benchmarks
• Impact of risk-based capital guidelines on
• Yield spreads for credit prepayment and
ABSs
other risks
• Impact of Basel II asset securitisation
• Relative value analysis
proposal
• Cash flow modelling for different time
frames
- revolving period

☎
- accumulation period
- amortisation period Booking Hotline
- early termination scenario
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“Interesting presenters made
it easy to concentrate
throughout the course. Not too
rushed meaning plenty of time
for discussion and interaction
when required”
A.R., British American Tobacco Ltd
Course Dates
10-12 November 2004
4-6 May 2005
Course Highlights
This course teaches the
most complex skill areas
such as loans pricing and
the workings and
implementation of financial
covenants. It will also cover
the corporate perspective
and approach to
syndication, the practical
implications of the latest
developments, including
LMA, the growth of the
secondary market and links
between the LMA and the
primary and secondary
markets, together with the
latest legal issues.
☎
Booking Hotline
+44 (0) 20 7915 5602
50 www.iff-training.com
Syndicated Loans
All you need to know about syndicated lending, including an
update on the latest developments
OVERVIEW OF SYNDICATED LENDING
Assessing The New Developments And State
Of The Market
• Examining the importance of project finance
deals and the Private Finance Initiative
(Public Private Partnership)
• Consideration of the links between Loan
Portfolio Management and the primary
and secondary markets
• Evaluate the potential of the secondary
market and the Loan Market Association
Winning The Mandate Organisation Of The
Syndicated Loan Process
• Examining the role of the:
- arranger
- underwriter
- lead manager
• Timetable for syndication of loan
• Risks involved in deals
- fully underwritten
- best effort
- allocation of participation and resulting
issues
• Agent bank
- the role of the agent
- mechanics of administration
- the procedure when difficulties arise
Pricing Considerations To Achieve A
Successful Syndicate
• How to assess a borrower’s credit
• Identifying and analysing comparative deals
• Assessing the role of maturity in pricing
• Effect on pricing of the inclusion/exclusion
of the transferability clause
• Other factors which can effect price
• Examining the role of ancillary business
when pricing, within the context of lead
arrangers
Evaluating Margins And Their Significance
• Function of the margin
• Analysis of the step up and step
down margin
Creating Facilities Which Match Client Needs
• The borrower and assessing the
individual criteria
• Market liquidity and appetite
• Termination date and its impact
on the loan structure
• Understanding types of credit facility
• Learn how the interest rate is fixed
• Libor/Euribor
• Withholding tax and its importance
• Successful repayment of money
FINANCIAL COVENANTS AND MARGIN
PROVISION
Understanding financial covenants: the
bank’s safeguard against a borrower’s change
in credit rating
• Gearing levels
• Interest cover
• Total indebtedness
• Examining which covenants are appropriate
for different types of borrowing
Devising Fee Structure And Its
Proportionment
• Calculating the fees payable on a deal:
- underwriters fee
- sub-underwriters fee
- management fee
Different Loan Types And Examining The
Range Of Pricing
• Assessing structure: reasons and
key credit factors for this range:
- corporate loan
- loan as a bridging facility
- project deals
- MBO’s
THE ROLE OF PARTICIPATING BANKS
How To Win Participating Banks And Their
Importance
• Targeting the right banks
• Assessment of risk with regard to
participating banks
Case study: The corporate approach to
syndicated lending
• Criteria for selecting:
- advisors
- arrangers
- agent bank
- participating banks
• Responsibilities for the Information
Memorandum
• Company reasons and criteria for choosing
more than one arranger
• Attitude to transferability
Links Between Loan Portfolio Management
And The Primary And Secondary Markets
• How Loan Portfolio Managers
relate to the syndication teams
• Implications for syndication teams of
Portfolio Management decisions
• The practical implications of the growth of
the secondary market and the emergence
of the LMA and their impact on the primary
market.
Secondary Market And The Loan Market
Association
• Assessing current activity
• Aims of the Loan Market Association
Impact Of The Secondary Market On The
Primary Market
• Negotiating the transferability
clause in primary documentation
• Hidden blocks to transferability
in the primary loan agreement
• Confidentiality agreement between bank
and borrower and its effects in secondary
selling of the loan
• Key legal issues
• Methods of transfer
Loan Documentation
Three days of intensive training on all the legal issues surrounding
loan documentation

Operation of Law • Confidentiality

• Documentation under English and New York
law vs. civil law documentation
• The operation of common law (UK and USA)
- court structures
- precedent
- statute
- appeals
- common law rights
• Equitable remedies and defences
• Dispute resolution
- structured finance: expert mediation,
international arbitration, the NY
convention, cross-border enforcement
• Law of the contract
- non-exclusive jurisdiction clauses
- enforcement
The Law of Contract
• Ultra vires: application of old law and new
law respectively
• Verification certificates
• Commercial benefit and objects clauses
• Implication of signing under seal
• Deeds
• Pre-contractual issues, the point of
contract, non-contractual documents, term
sheets and heads of agreement
• Documents that have to be evidenced in
writing to be enforceable
• Consideration
• Legality and severance clauses
The Loan Agreement
• The structure of a loan agreement
- layout of the clauses
• Clauses raising important commercial
issues and their implications
- the negative pledge clause
- cross default and cross acceleration
- material adverse change clause
- representations and warranties
- rights of set-off
- default, covenant breach and grace
periods
- reversing waivers of default
- assignment clauses and novation
The Agency Role – Syndicated Loans
• Powers of the agent bank and the agency
clause
• Implications of agent exceeding powers
• Credit analysis, information memorandum,
ongoing information and reporting
• Legal opinions
• Disclaimers and their effectiveness
• Unfair Contract Terms Act
• Negligence, gross negligence and willful
• Conflicts of interest
“Excellent tutor”
• Defaults and majority voting rights M.F., Bradford & Bingley
Guarantees
• Definition
• The common law position
• Types of guarantee
- all-monies guarantees: potential dangers
- consideration
- post facto guarantees
Course Dates
• Termination of guarantees 11-13 October 2004
• Multiple guarantors: implications
• Reviewing specific clauses contained in a
7-9 May 2005
standard guarantee document
- conclusive evidence clause
- indemnity clause
- survivorship clause
- variations clause and right to vary terms
without knowledge of guarantor Course Highlights
• Execution This course focuses on
• Letters of credit: overview
documentation used in
Letters of Comfort corporate loans, bilateral
• The legal position
and syndicated loans,
- letters of acknowledgement
- letters of support including security and
• Examples of different types of letter of guarantee documentation,
support and the implications of
• Applying the contractual tests
• Precedents
insolvency on the
contractual rights of the
Security
senior creditors. Delegates
• Different approaches in different countries
• Principal types of security will be guided step-by-step
- security agency, security trusts and through the various
indentures
components of loan
- pledges, liens, and constructive trusts
- fixed and floating charges documentation from
- mortgage debentures indicative offer letters, loan
- property security agreements, guarantees,
- security over shares
letters of comfort, mortgage
- assignment of policies
debentures and security
Insolvency Regulation
over other forms of asset,
• Insolvency regimes in the USA
- Chapters 11 and 7
including property, shares
• Insolvency regimes in the UK and insurance assignments.
- administration, administrative receivership,
scheme of arrangement and liquidation
• The impact of various forms of insolvent
administration on the rights of financiers
under their contractual documentation
• Minimizing the negative effects at the time
of drafting
• Potential rights against other creditors
• Protecting rights in the immediate period
before the onset of insolvency

☎
misconduct • Transactions that can be set aside,
• Vicarious liability preferences, transactions at undervalue and
extortionate credit
Booking Hotline
• Assignment, novation, silent sub-
participation and credit derivatives +44 (0) 20 7915 5602
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“Excellent course”
R.W., ING Bank
Course Dates
15-17 November 2004
16-18 May 2005
Course Highlights
A uniquely structured,
intermediate-level course,
which has been designed
exclusively for all those
working within corporate
finance and treasury. Key
areas covered include
modern corporate finance
techniques such as time
value of money and project
evaluation, cost of capital
and optimal capital
structure, business
valuation techniques,
flotations, acquisitions and
disposals and MBOs.
☎
Booking Hotline
+44 (0) 20 7915 5602
52 www.iff-training.com
Corporate Finance
Learn the latest development, strategies and techniques to
revolutionise your corporate finance function
Time Value Of Money And Project Evaluation
• Discounted cash flow (DCF)
• Present and future value
• Annuities and perpetuities
• Net present value (NPV) and internal rate of
return (IRR)
• Relevant costs and revenues
• Impact of inflation and taxation
• Treatment of interest
• Treatment of working capital
Exercises: Participants will work through a
number of exercises on the time value of
money, relevant costs / revenues and
constructing a simple model
Assessing The Cost Of Capital
• The importance of the cost of capital
• Cost of debt and equity capital
• Use of Capital Asset Pricing Model
• Geared and ungeared betas
• Weighted average cost of capital
• Effect of gearing on the weighted average cost
of capital
Exercises: Participants will perform exercises
on CAPM (estimating beta) and WACC
(calculation and use)
Business Valuation Techniques
• Assets basis
• Relevant multiples – EBIT, EBITDA and P/E ratios
• Comparative company analysis
• Comparative bid analysis
• Notion of a control premium
• Private company valuation adjustments
• Dividend yield
• Dividend growth model
• Composite basis of valuation
• Enterprise value
• Advantages and disadvantages of the different
techniques
Case Studies: Participants will work on two
case studies regarding the valuation of a
company. The first will involve valuing a
company for sale and in the second
participants will estimate the maximum a
purchaser might be prepared to pay and the
minimum the vendor might be prepared to
accept.
Instruments Of Corporate Finance
• Ordinary shares
• Preference shares
• Debt instruments
• Convertibles
• Warrants
• ADRs / GDRs
• Share buy-backs
• Capital reduction schemes
Exercises: Participants will attempt two
exercises: one on a geared return on equity
and the other on selecting the correct
instrument for financing
Review Of Financial Statements
• Components of the balance sheet and
profit / loss account
• Cash flow statements and statements of total
recognised gains and losses
• Profitability ratios
• Liquidity ratios
• Gearing ratios
• Interest cover
Exercise: Participants will evaluate the
performance of a company using ratio
analysis
Investment Banking And Other Corporate
Finance Advisory Roles
• Investment bank - financial advice, ‘master of
ceremonies’ role, underwriting and greenshoe
options
• Stockbrokers
• Reporting accountants
• Solicitors
• Financial PR consultants
• Professional valuers
Flotations
• Advantages and disadvantages
• The current state of the markets for IPOs
• Typical commercial and regulatory conditions
• Flotation methods
- public offers
- placings
- introductions
- reverses
• Bookbuilding
• Profit forecasts, role of analysts, quiet periods
• EU Consolidated Admissions and Reporting
Directive
Exercise: Participants will work through an
exercise on flotation calculations
Subsequent Issues Of Equity
• Placings
• Rights issues
• Open offers
Exercise: Participants will work through an
exercise on rights issue arithmetic
Acquisitions And Disposals Of Private
Companies
• Commercial/financial rationale
• EPS dilution
• Negotiation
• Structure of the deal - shares or assets?
• Due diligence
• Share purchase agreements
• Warranties and indemnities
• Vendor placings
Case Studies: Participants will analyse an
acquisition with regard to EPS dilution and
the price being paid. They will then work
through a case study where they will need
to identify crucial issues regarding a
disposal.
Management Buy-Outs
• Criteria for a successful deal
• Structure of a buy-out
• Senior debt and mezzanine debt
• Venture capitalists approaches
• Equity ratchets
• Envy factors
• Key legal issues, e.g. financial assistance
• Exit routes (trade sales, second round buy-outs)
Exercise: Participants will first work through
an exercise where they must estimate a
venture capitalists’ stake. Then, given some
information about a buy-out candidate,
participants will structure the deal.
Public Company Takeovers
• Share for share offers
• Underwritten cash alternatives
• Mix and match elections
• Financial effects of acceptance
• Agreed offers
• Methods of structuring a merger
• Hostile bid and defence tactics
• Public to private deals
Case study: Participants will evaluate a
public company takeover by reference to bid
arithmetic and the impact on shareholders
Corporate Restructuring
A practical and comprehensive guide to the most important
corporate restructuring techniques used today
Equity Restructuring
• Sell-offs
•
•
Spin-offs, split-offs & split ups
Carve-outs & spin-outs
• Tracking stock
• Reduction of capital
• Equity buy backs
EXERCISE: Participants will be asked to
advise on restructuring a conglomerate in
order to resolve its short term problems and
to develop a longer term strategy.
Further Equity Transactions
• Vendor placings
• Open offers
• Rights issues
• Capitalisation issues
• Share splits
• Convertible loan stocks
• Equity warrants
EXERCISE: Participants will be asked to
consider a UK rights issue and to advise on
the theoretical ex-rights price and the
options open to shareholders.
Management Buy-Out Deal Structure
• Equity, quasi equity and ratchets
• PIK and vendor loan notes
• Senior debt, mezzanine and junior debt
• High yield bonds
EXERCISE: Participants will be asked to
advise on the proposed split of equity
between a management buy-out team and a
private equity house
Public-to-Private Deals
• Comparison with private MBOs
• Reasons for the increasing number of PTPs
• Risk management
• Funding procedures
EXERCISE: Participants will be asked to
advise a management buy-out team on the
structure of a ratchet proposed by a private
equity house.
Debt Restructuring
• Wrongful and fraudulent trading
• Directors’ responsibilities & liabilities
• Debt priority on insolvency
• Force majeure & MAC clauses
• Debentures, mortgages, charges, pledges &
liens
• Loan representations, warranties &
covenants
• Default, remedies, waivers and reserving
rights
• Cross default and cross acceleration
EXERCISE: Participants will be asked to
consider the conversion price, conversion
ratio, conversion value and conversion
premium of a convertible loan stock.
Rescheduling to Avoid Insolvency
• Financial distress & the slippery slope
• Gradual decline/quick descent
• Conflicting interests
• Negotiating with bondholders
• Handling vultures & freeloaders
Brand New Course
• The distressed debt market
EXERCISE: Participants will be asked to
advise on the efficacy of a client’s
restructuring proposals.
Corporate Turnarounds
• Is it worth it?
• Selecting a turnaround manager Course Dates
• Assessment of the management team
• Immediate action & crisis mentality 3-5 November 2004
• Cash flow focus & crisis stabilisation
6-8 June 2005
• Formulating a workable restructuring plan
• Sink or swim
Structuring a Joint Venture
• The nature and purpose of corporate
partnering
• Overview of objectives Course Highlights
• Advantages & disadvantages
• Risk analysis This course covers a wide
• Alliance strategy
variety of corporate
Selecting a Corporate Partner restructuring transactions,
• Motivation
including MBOs, equity and
• Initial considerations
• Identifying suitable partners debt restructuring,
• Screening the candidates turnarounds and joint
• Relationship & performance risks
• Selection ventures. Packed with
numerous exercises, this
EXERCISE: Participants will be asked to
consider the problems that a small company course will give you a
might encounter when entering into a joint practical insight into the
venture with a large company.
mechanics of today’s major
Types of Structure
• Contractual joint ventures corporate restructuring
• Partnerships (general, limited and LLPs) techniques.
• Corporate joint ventures
• Dual headed structures
• Loose strategic alliances
• Equity investment
• Different emphasis to acquisitions
• Minority protection
• Legal & tax considerations
Management Structure
• Preservation of confidentiality
• Avoidance of conflict or dependency
• Management qualities required
• Resolving cultural difficulties
EXERCISE: Participants will be asked to
consider the options available to a large
company whose core business is in danger of
being undermined by low cost competitors.
Termination
• Exit planning
• Pre-arranged mechanisms
• Russian roulette
☎
• Mexican shoot-out
• Guaranteed exit Booking Hotline
• Mutually assured destruction
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“Lots of examples in each
section. The instructor has
a wide range of experience
in M&A and related areas”
R.K., Shell
Course Dates
13-15 October 2004
20-22 April 2005
Course Highlights
The programme commences
by identifying and describing
numerous types of corporate
transactions and examining
the structures of different
types of deals. It will then
move on to consider all of
the vital aspects of buying a
private company. Different
equity financing techniques
will also be explained and
exercises will be tackled by
delegates. The course will
also focus on valuation
issues. The second half of
the programme will cover the
key issues involved in public
company takeover bids
including a thorough review
of takeover bid regulation.
☎
Booking Hotline
+44 (0) 20 7915 5602
54 www.iff-training.com
Mergers & Acquisitions
Learn the most effective strategies and implementation processes
for M&A
CORE PRINCIPLES AND STRUCTURE OF
M&A ACTIVITY
Understanding The Main M&A Activity And
The Basic Structure Of Transactions
• Acquisitions
• Takeovers (agreed, resisted, & contested)
• Mergers
• Management/Leveraged Buy-Outs
• Public to private deals
• De-Mergers and Spin-Offs
Commercial Rationale For M&A : Learn
About The Attitude Of Key Decision Makers
In Determining Their Strategic Objectives
• Increase in market share/reduction
in competition
• Growth objectives
• Synergies (including economies of scales
and reduced costs)
• Diversification of activities
Financial Rationale For M&A : Appreciate
The Importance Of The Financial
Consequences Of A Deal From The
Viewpoints Of The Company And
Institutional Shareholders
• Increasing earnings per share
• Purchase of undervalued assets
• Break-up possibilities
• Tax considerations
• Gearing aspects of an acquisition
Exercise: Impact on earnings per share of an
acquisition and possible compensation for
dilution
Evaluating The Principal Advisory Roles In
M&A Activity And How They Inter-Link
• Investment banks
• Stockbrokers
• Reporting accountants
• Solicitors
• Valuers
• Financial public relations
Gain An Overview Of How M&A Activity Is
Developing In The Core Industrial Countries
• France
• Germany
• Spain
• Portugal
• Italy
• Benelux countries
• Austria/Switzerland
• Central and Eastern Europe
• Asia/Pacific region
CORE PROCEDURES IN M&A ACTIVITY
Learn The Different Valuation Techniques
Used In M&A Activity And Their Relevance
To The Decision Making Process
• Discounted cash flow techniques
- including NPV, IRR, identification of
relevant costs, the impact of taxation &
inflation
• Cost of capital - including CAPM
and WACC
• Geared and ungeared betas
• Earnings-related ratios (P/E, EBITDA)
• Asset valuation
• Composite basis of valuation
• Valuation for acquirer and target viewpoints
(including impact of synergy)
Exercise: Valuations for M&A
You will be given details of a private
company and asked to consider various
methods of analysing and valuing its worth.
You will also be given details of an acquirer
and its prospective targets, and asked to
consider the target’s valuation from
differing perspectives.
Effective Planning For M&A Activity:
Appreciate The Necessary Steps Prior To The
Negotiation Process
• Identifying the right targets
• Due diligence (commercial,
financial, legal, environmental)
• Vendor due diligence
• Analysing the corporate
structure of target company
• Track record of target company
• Review of audited accounts
Implementation Of M&A Deals: Learn About
Achieving The Desired Results By Using The
Best Methods To Structure The Deal
• Purchase of assets
• Warranties, indemnities and covenants
• Earn-out deals
• Adjustments to considerations
Financing Of M&A Activity: Structuring And
Pricing The Correct Capital Market
Instruments For Financing Differing Deals
Under Varying Circumstances
• Cash
• Shares
• Rights issues and open offers
• Vendor placings
• Underwritten cash alternatives
• Mix and match elections
• Use of loan notes
• Mezzanine debt
• Bonds, convertibles and warrants
• Structure particular to a buy-out
Exercise: Financing of M&A activity
You will be given a number of firms and
asked to choose and justify the most
effective instruments to finance the deal
under a number of different circumstances
Structure Of Agreed Takeovers: Learn The
Differences Between Work Required On The
Agreed Takeover Of A Public Company And
That Of An Acquisition Of A Private
Company
• Documentation
• Financial effects of acceptance
• Procedures
Exercise: Takeover Bid Arithmetic
This exercise will evaluate the arithmetic
used in various takeovers and its significance
in the deal
Structure of hostile takeovers: An Up-To-
Date Briefing On The Latest Developments In
Resisted And Contested Takeovers
• Bid tactics
• Defence tactics (poison pills, white knights,
share purchases, etc)
• Documentation
• Discussion of major recent hostile bids
Case Study: Hostile Takeover Bid
You will evaluate the hostile bid by Great
Universal Stores for Argus
PRINCIPAL RULES AND REGULATIONS
INVOLVED IN M&A ACTIVITY
• Principal UK legislation and
regulatory/supervisory institutions
• Office of Fair Trading
• Monopolies and Mergers Commission
• “Insider dealing” legislation
• Relevant sections of the Financial Services
and Markets Act
• Relevant principles and rules of
the Financial Services Authority
• Importance of Chinese Walls
• Relevant sections of Company Law
(financial assistance, capital reduction
schemes, compulsory acquisition of shares)
• Association of British Insurers and National
Association of Pension Funds
Core Listings Rules: Learn About The “Purple
Book” And Rules Most Relevant To M&A
Activity
• Chapter 10 (Class Tests)
• Chapter 11 (Transactions with
related parties)
City Code on Takeovers And Mergers: Gain A
Thorough Working Knowledge Of This
Important Rule Book
• Role of the Panel
• The 10 general principles
• Key definitions used in the code
• The approach, announcements
and independent advice
• Dealings and restrictions on the
acquisitions of shares and rights
over shares
• The mandatory offer and its terms
• The voluntary offer and its terms
• Provisions applicable to all offers
• Conduct during offer
• Documents from the offeror and
target board
• Profit forecasts
• Assets valuations
• Timing and revisions
• Restrictions following offers and
possible offers
• Dealings by connected exempt principle
traders and market-makers
• Substantial Acquisitions Rules
Exercise: Application of city code
You will evaluate the application of the
“City Code” in connection with the purchase
of shares in a prospective target company
to enable you to understand its implications
on your deals.
Learn About The Most Important European
Union Rules Concerning M&A Activity
• EU merger regulations (new rules in 1998)
• Interaction between EU and
national merger control
• Domestic takeover rules in France
and Germany
☎ Booking Hotline
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“The content was delivered at
an excellent level, it was
understandable and illustrated
with real life examples”
N.A., International Water
Course Dates
17-19 November 2004
27-29 April 2005
Course Highlights
This course will cover state-
of-the-art corporate
valuation methodologies in
order to identify and analyse
major relevant economic,
industry and corporate
issues. This is achieved by
focusing on the concept of
free cash flow, cost of
capital, discounted cash flow
valuation, dividend valuation
model and Economic Added
Value.
☎ Booking Hotline
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Corporate Valuation
Techniques
Learn the core skills to make accurate valuations
Essential Elements In Valuation Residual Valuation Matters
• Price vs value • The effect of leverage on risk and return
• Perspective of techniques • Optimal capital structure
• Risk • Adjusted present value
• What kinds of projects are financed • Project risk -vs- company risk
• Return on capital vs cost of capital • Flow-to-equity alchemy
• Overview of project appraisal
Free Cash Flow - A Central Concept
• Importance of FCF Estimating Future Cashflows And Returns
• Limitations of accounting-based data • Limitations of predictive models
• Components and detailed calculation • The modelling of cost structures
exercise • Sensitising the cashflow forecast
• Establishing a valuation range
Cost Of Capital And DCF Valuation
• Cost calculations of the capital components Case Study: Eva®
• Areas of controversial debate in
deriving cost of capital Economic Value Added
- share market premium • The range of performance
- betas evaluation techniques
• Discounting exercise • Detailed calculations
• Investment horizon • Analysis of results of analysis
• Market value added (MVA)
• The continuing period
• Correlation of market price to
Case Study: DCF valuation EVA performance
• Strategic interpretation of EVA analysis
Cost Of Capital And DCF Valuation (Cont.)
• Debrief of case
• Sensitising valuation analysis
• Decision-making using the product of
valuation techniques and pricing techniques
• Application of DCF to LBOs and MBOs
• Application of DCF in valuation
of acquisitions
• Problems with emerging markets
- adaptations of approach
• Application to non-quoted businesses
Pricing Techniques
• Pricing Techniques - Comparatives
• Selecting comparatives
• P/E ratios
- the calculation
- the essential adjustments
• Cash multiples
• Total enterprise value
• Comparative ratios
• Modelling and sensitising the components
Case Study: Comparative pricing
• Debrief of case
Dividend Valuation Model
• Dividend growth approach
• Practical problems in its application
• When dividend valuation should
be chosen in lieu of DCF valuation
• Comparison of results to DCF valuation
• Exercise
Management Buy-Outs
Equip yourself with the latest strategies and techniques for
valuing, pricing and structuring MBO’s
Background To MBOs And Why They Have
Developed
• Pricing an MBO
• Valuation of the target company (including
DCF considerations and value drivers)
• Differences with public to private deals
• Debt considerations: attitudes of
the providers of debt finance
• Use of P/E ratios, EBIT and EBITDA ratios
• Venture capitalists’ IRR and calculations
• Envy factors: their calculation
and interpretation
Structure Of An MBO
• Senior debt: features, alternatives and the
use of securitisation
• Mezzanine finance: features, equity
warrants and high yield bond alternatives
• Institutional equity: latest trends, problems
and how they are overcome
• Methods of participation for the vendor
and their rationale
• Management equity, ratchets and
structuring the ratchet mechanism: linking
the venture capitalists’ IRR with the
rewards for management
Public To Private Deals
• Rationale for “take privates”:
stock exchange aspects and costs
• Conflict of interest implications
and the role of takeover codes
• UK Takeover Code general principles
and rules that are relevant
• Other company law issues and financial
assistance aspects, including difficulties
for bankers lending finance
Legal Considerations
• Initiating the MBO: problems for
management and vendors
• The equity investment and loan
arrangements: contents of key
legal agreements in buy-outs
• Financial assistance and how to
overcome the problem if the target is
private (“whitewash” procedures)
Exit Routes
• Trade sales
• Flotations: recent developments and the
concept of “pro forma” earnings
• Second round buy-outs: the surge
in their popularity
• Share buy-backs
Raising The Finance
• Securitisation alternatives: asset
backed securities, collateralised
bond obligations and special
purpose vehicles
• Different funding alternatives:
equity vs. debt, generic vs. “One of the best training
synthetic and senior vs. subordinated courses I have ever
• Portfolio statistics, collatoral analysis, attended”
relative value comparison and the
importance of collateral quality E.J.B., Unibank
• Projected returns for subordinated debt
buyers: risk-return analysis of subordinated
CBOs and high yield bonds
• Sources of credit enhancement:
structure, third party enhancement, Course Dates
excess spread and cash reserve
• Rating issues, their pros and cons 6-7 September 2004
• Distribution and secondary market aspects:
buyers and brokers, secondary market
14-15 February 2005
liquidity and the market potential for MBOs
• Risk factors: credit risk, market risk and
structural risk resulting from MBOs
• Venture capital specifics: new providers of
debt and equity, venture capitalists, private
equity and mezzanine funds Course Highlights
• The high yield market in Europe: status quo
and potential for MBOs, characteristics of This two-day course covers
high yield bond structures and credit all the most important
risk evaluation
considerations which make
Due Diligence In MBOs successful MBOs. In
• History and development of due addition to exploring the
diligence, application and trends
• The importance of due diligence: background to MBOs, the
strengthening negotiating position, course will cover pricing
reducing the risk of failure
and valuation issues,
• Due diligence and warranties
• When due diligence is done: timing of structuring the debt and
different types and best practice equity components,
• Personnel and organisation: teams and their
functions and methods of organisation
methods for raising finance,
• Issues affecting the extent of due diligence legal issues and the
• Due diligence on different types processes used in due
of MBOs (PTPs, private deals)
• Separation issues
diligence.
• The amount of diligence required
• The quality of information
available and how to improve it
• Applying a risk matrix to identify,
analyse and mitigate risk
• Commercial due diligence: the basis of
competition, barriers to entry, management
issues, culture ethos and experience and
organisational matters
• Financial due diligence: historical matters
and a framework for future analysis
• Technology due diligence: the general
environment and what to look for
• Environmental due diligence
• Cross border issues: cultural
considerations and legal considerations
☎
Booking Hotline
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“What I liked most about
this course is its structure
and the course leaders”
A.F., Mergermarket Ltd
Course Dates
20-22 September 2004
9-11 March 2005
Course Highlights
A highly practical course
designed to provide you
with a complete inside
guide to the private equity
and venture capital
industries. You will learn
how to tackle complex
valuations; conduct detailed
due diligence and get to
grips with structuring
issues. Practical case
studies and examples are
utilised throughout the
programme.
☎
Booking Hotline
+44 (0) 20 7915 5602
58 58 www.iff-training.com
Private Equity and
Venture Capital
Learn the most successful strategies and effective techniques for
valuing and structuring new deals
The private equity and venture capital
industry
• Origins, history and development of this
industry
• Size and scope of the industry
• Analysis of the differences between the
USA, UK and Continental Europe
• Investors objectives
• The investment process
• Sources of information
Structure of a VC fund
• Limited partnership
• Yield requirements
• Impact on debt available
Industry participants and their different
functions
• Assessing their different focus and
implications for investee companies
- venture capitalists
- business angels
- corporate venturing
- incubators
The importance of the business plan
• What makes a good business plan
• Some examples of good and bad
• It’s a people business!
Legal and technical documentation
• Confidentiality agreement
• Offer letter
• Investment agreement
• Levels of complexity
• Other documentation
VC involvement after investment
• Service agreements
• Dividend policy of investees
Case Study: Participants will be asked to
evaluate several transactions in the light of
the techniques and options they have just
studied and suggest structural solutions to
the problems posed
Financing the transaction and the funding
structure
• Senior debt
• High yield bonds
• Bridging finance
• PIK preferred
• Asset based lending
• Vendor notes
• Equity
Structuring issues
• Private equity stake
• Management stake and ratchets
• Structural options (assets vs. shares)
• The ‘sale’ process – key differences
between MBOs and VIMBOs
• Typical structures (two and three tier)
• Security and subordination
Case Study: Participants will work through a
buyout financing model, deriving nominal
returns, IRRs and differential
institutional/management equity returns
Exits
• Different routes and strategies
• Maximising value
• Pre-conditions for an IPO
BUSINESS VALUATION TECHNIQUES
Valuation Issues
• Price vs value
• The range of techniques available
• Value from the perspective of a venture
capitalist requiring an exit
• Value of the business itself
• Speculative value
• Negotiation, benchmarks, rules of thumb
and ratchets
• Free cash flow
• Risk and the pricing of risk
• The volatility of the corporate cash flows
• ROC vs COC
• Choice of (a) value, (b) rate of return or (c)
growth rate requirements, as the output of
analysis
Illustrative Examples
• Early stage financing – the problems with
any methodology of empirical analysis
• Expansion financing – value
• MBO – the five drivers of the value,
including the exit circumstances
• Emerging market expansion finance –
growth rate approach
• Where markets are very thin and illiquid –
rate of return approach
Valuation of cash flows
• Cost of debt
- the correct risk free rate
- currency issues
• Minimum required return to shareholders
- risk premia: empirical approaches and
subjective approaches
• The illiquidity premium
• Investment horizons
• Adjustments
• Sensitivity to find the value range
• The various rate of return functions in excel
and the appropriate uses
• Building a valuation model
Comparatives
• Assembling the data
• Correlations
• The necessary adjustments
• Problems with cross-border comparatives
• Other dangers and issues in the use of
comparatives
• Building a pricing model
Determining the Appropriate Financing
Structure
• Cash flow volatility
• The problem with predictive models
• Modelling the cost structure
• Determining liquidity and contingency
requirements
• Building the cash flow model of the
business
International Trade Finance
Understand the features and benefits of international trade
products, the services offered by banks and the underlying risks
involved
Implications and Risks in International Trade
• Key considerations for importers and
exporters: market, buyer, transport,
payment – what can banks do to help their
business customers?
• Commercial contracts
• Impact of INCOTERMS 2000 on the
movement of goods, the responsibilities of
both buyer and seller
• The role and influence of the ICC on
international trade
• ICC publications
IMPORT AND EXPORT DOCUMENTATION
• Overview of financial, transport, insurance
and customs documentation
• Methods of settlement
• Advantages/disadvantages to importer,
exporter and banks in the main methods of
settlement
Export/Import Documentary Collections
• Relationship between principal and
remitting banker
• Relationship between correspondent banks
(agency arrangements)
• Legal and practical issues regarding the
duties of the remitting bank
• Liability of the banks involved
• Conditions for release of documents
• Conditions for transfer of funds
• Difficult areas of risk
- partial payments
- avalising
- consignment of goods to banks
- release of goods on trust
• Use of letters of trust and letters of
hypothecation
• Procedures for protest and underlying risks
• Complexities of the Uniform Rules for
Collection ICC 522
Export/Import Documentary Letters of Credits
• Banker/customer relationship
• Risk factors when issuing letters of credit
• The autonomy of letter of credit operations
(independence principle)
• Contract between applicant and issuing
bank - reducing risk
• Legal opinion on contractual issues
EXPORT CREDIT AGENCIES AND EXPORT FINANCE
The Need for Financing International Trade
(Outside of Letters of Credit)
• Working capital
• Finding new markets
• Trading with confidence
Types of Export Finance
• Factoring and invoice discounting
- accounting facility
- fees and commission
- benefits to exporter
• Factors Chain International
- undisclosed factoring facility
- risks
- tracking a typical transaction
• Forfaiting
- classic forfaiting
- benefits
- fees and commission
- comparison of ‘a forfait transaction and
the ‘letter of credit’
- ‘off - balance sheet finance’
- risks
• Bills negotiated
• Advances against bills for collection
• Insured risk finance Brand New Course
• Acceptance lines of credit
• Buyer/supplier credit
• Medium and long term financing
• Credit risk insurance
• The role of ECGD and Private Insurers
Needs Satisfaction Approach
• Identifying client needs Course Dates
• Using product knowledge to establish the
most appropriate products which will meet 8-10 November 2004
customer needs
• Using benefit statements to convince 16-18 May 2005
customers of the relevance of the bank’s
solution
Purex Limited Case Study
In this simulation the company is developing
its activities in European markets and requires
advice from their bankers. Delegates will go Course Highlights
through the processes of building a
customised solution using their analytical This practical course covers
skills, which will involve:
all the major issues within
- bank/customer interviews (role plays)
- gathering information by asking the the international trade
right questions
- assessing the customers needs arena, from the importance
- presentation of solutions
of facility structuring to the
Contract Bonds and Guarantees mechanics of trade finance
• The structure of the market
and the methods of
• Types of guarantees
- tender/bid bonds controlling the risks.
- performance bonds
Through case study
- retention money guarantees
- advance payment guarantees analysis and practical
- maintenance guarantees examples, this course will
- bail bonds
- general guarantees
teach you how to identify
- surety bonds your customers’ business
- indemnities/counter guarantees needs and formulate a
• Risk assessment
• Wording of guarantees satisfactory tailored
• International banking practices
solution. You will learn how
• Unfair calling
• Expiry and cancellation to identify new business
- when to consider the guarantee cancelled opportunities, confidently
- when to release the client counter indemnity
market products and
Case Studies: Wording of guarantees
services and win business
The Nature and Management of Foreign from competitors.
Exchange Risks in Trade Finance
• What is meant by foreign exchange
exposure?
- economic exposure
- transaction exposure
- translation exposure
• Techniques for managing the foreign
exchange risks
- forward exchange contracts
- use of a foreign currency options market
- use of foreign currency account
☎
- 'leads and lags' - speculation
• Formalities and procedural matters Booking Hotline
• Bank attitudes to marking spot and forward
exchange limits +44 (0) 20 7915 5602
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Brand New Course
Course Dates
25-26 October 2004
9-10 May 2005
Course Highlights
This course concentrates
on the practical aspects of
corporate credit analysis. It
examines the cash flow
dynamics of a business, the
wider liquidity issues facing
the business, the analysis of
the business’s external and
internal environment and
the actual and potential
impact of that environment
on financial performance.
Numerous practical
examples, exercises and
real life case studies are
used throughout the course.
☎
Booking Hotline
+44 (0) 20 7915 5602
60 60 www.iff-training.com
Corporate Credit Analysis
A complete market-focused guide to the practicalities of corporate
credit analysis
Introduction: Risk Evaluation Framework • Multi-level businesses
• General credit principles • The market environment
• Stages in the analysis process • Market life cycles and market maturity
• Information gathering • Competitive analysis
• Relationship between financial and non-
financial factors
Strategic Analysis (3): Company Specific
• Relationship between external and internal
Risks
risk factors • Management risks
• A top down approach: • Business risks
- macro level • Performance risks
• Financial risks
- sector / industry level
- company specific level • Structural / relationship risks
Financial Analysis: Key Performance Operational Analysis
Indicators • Management
• Use of ratios • Human resources
• Standard categories of ratios • Finance
• Non-standard ratios • Marketing
• DuPont approach • Operational structure
• Assessing projections • Systems and controls
Cash Flow
• Why cash is always king
• Analysing the cash flow statement
• Specific cash flow ratios
• Calculating free cash flow and debt
capacity
• Assessing business viability
Liquidity
• Definition
• Operational liquidity
• Non-operational sources of liquidity
• Key issues
• Establishing a measurement
The Operating Cycle
• Establishing the financing gap
• Calculation of working investment
• Relationship of working investment to sales
• Use as a measure of operational liquidity
Company Dynamics
• Environmental conditions
• Revenue volatility
• Operating cost structures
• Financial cost structures
• Cash flow and liquidity implications
• Capital structure implications
Strategic Analysis (1): Macro Analysis
• Strategic issues analysis
• Identifying environmental signals
• PEST analysis
• The product : mission matrix
Strategic Analysis (2): Sector / Industry
Analysis
• Defining the sector
• Sector characteristics
• Industry ‘norms’
Fundamentals of
Fund Management
Theory and practice of fund management explained at an
introductory level

Understanding the fundamentals of - momentum style

- small capitalisation style
“Relaxed and informative,
investment
• Investors: their requirements and objectives • Comparing fund management styles felt comfortable asking
• Understanding risk and inflation Fixed income fund management
questions. Good overview
• Explaining investment assets • Mastering the concepts of duration and
of complex subject”
- characteristics convexity
- historical returns M.F., Countrywide Assured Plc
• Understanding bonds pricing
- projecting returns • Learning the theory and practice of portfolio
Examining types of funds and investment switching
products • Bond portfolio management of annual returns
• Examining bond swapping techniques Course Dates
• Explaining different types of funds and their
characteristics Equity fund management 14-16 July 2004
- conventional funds • Understanding the fundamentals of equity
- pension funds analysis 1-3 December 2004
- mutual funds and unit trusts - financial analysis
- collective investment schemes (OEICS) - key accounting and valuation ratios
13-15 April 2005
- tracker/index funds - interpretation of valuation ratios
- hedge funds - qualitative considerations
- money market funds • Comparing active vs passive equity fund
• Examining investment products and their management
applications • Examining index funding or tracker funds
Course Highlights
- equities - domestic and overseas
Examining other types of fund management This course clearly explains
- bonds
- commodities • Cash fund management the entire spectrum of the
- derivatives: futures • Money market funds investment management
• Alternative investment
Understanding the fund management process - real estate process with an emphasis
• Understanding the theory behind fund - venture capital
management
and focus on understanding
- unlisted equities
• Role and responsibilities of fund managers the principles of fund
• Planning for optimal portfolio returns Asset allocation within the investment
- setting investment objectives decision making process
management and the more
- the constraints of the fund manager • Determining clients aims and objectives complex jargon used by
- strategic asset allocation to enhance • Asset/liability management fund mangers. The course
portfolio performance • Strategic and tactical asset allocation
• Implementing strategies to maximise • The decision making levels: will provide an in-depth
performance - assets analysis of the different
- mandate definition - currencies
- how and why benchmarks must be - countries types of funds and
specified - sectors investment products, fund
• Effective management for ultimate results - stocks
- tactical asset allocation management styles,
- securities selection Understanding modern portfolio theory
principles of portfolio
• Controlling the process • Evolution, insights and applications
- performance measurement • Understanding mean-variance analysis construction, performance
- attribution analysis - expected returns evaluation and use of
- historical variances
Linkage between economic activity and - historical correlation derivatives in fund
investment markets • The benefits of diversification across management.
• The key drivers portfolios
• The business and investment cycles • Controversies and weaknesses arising from
• A cyclical approach to investment the application of MPT to fund
• Sentiment, excesses and crashes management practice
Analysing fund management styles Investment performance evaluation
• Examining the most common styles fund • Successfully measuring investment returns
managers use to achieve their investment • Risk adjusted measures to optimise
objectives: portfolio strategy
- asset class and geographic • Benchmarks - what are they and when
diversification should they be used
- active strategies • Attribution analysis to ensure effective
- passive strategies measurement control
- top down approach • The importance of client reporting
- bottom up approach • GIPS
- sector rotation style
- growth investing
- value investing
☎ Booking Hotline
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“What I liked most about this
course is the broad knowledge
of the teacher and his ability
to explain clearly and simply”
G.S., Swiss National Bank
Course Dates
13-14 September 2004
14-15 March 2005
Course Highlights
This basic-intermediate level
course will cover the industry
methodologies to measure
returns and customise your
benchmarks to accurately
reflect your fund’s objectives.
You will also learn how to
utilise and implement risk
adjusted measures to
optimise your portfolio
strategy and increase the
accuracy of your results by
understanding the most
recent developments in
globalisation of standards
(GIPS).
☎ Booking Hotline
+44 (0) 20 7915 5602
62 www.iff-training.com
Fundamentals of
Performance Measurement
Gain practical insight into the latest measurement and control
methodologies and apply them in practice
SUCCESSFULLY MEASURING RETURNS: THE
METHODOLOGIES AND INDUSTRY PRACTICES
Internal Rate of Return (IRR)
• What happens when there are large cash
movements?
• How to manage distortion in returns
The practicalities of using Money Weighted
Return (MWR)
• When should it be used?
• Identify the data required to successfully
measure MWR
• The time factor and its impact on your portfolio
• Monthly cash movements and their
implications on the performance outcome
• Cash flows above 10% of the total portfolio
value - what are the implications?
The effectiveness of using Time Weighted
Return (TWR)
• Why is it the most accurate measurement
of the performance of your capital? Or is it?
• Successfully monitoring movements in cash
and their impact on TWR results
• Identify the most appropriate time period to
calculate, ensuring accurate results
• Learn how the following methods are
applicable:
- modified DIETZ
- modified BAI
- true time weighted method
• Find out their pro’s, con’s and limitations
Data Management
Valuation/Transactions/Income/Settlement and
Trade Date/Capital Gains/Foreign currency/
Taxes/Performance fees/Interests/Dividends
The Practicalities of using Excess Returns
• Arguments to use geometric or arithmetic
methodologies
• Convertibility
• Proportionality
• Compoundability
PC Workshop: Consolidate your knowledge on
how to successfully calculate returns error-free
through this interactive practical exercise where
you will learn all the techniques required to
enhance the accuracy of your calculations.
How to Create Benchmarks and Index
Information
• What are they and when should they be used?
• How to successfully interpret the return of
your fund against the benchmark
• Customise your benchmark knowing your
fund objectives
• Foreign investment and country indexes -
what should you look out for?
• Interpreting the time differences and their
impact on your evaluation
• Learn the different calculation methods
• Peer groups: medians, weighted average
and percentile ranks
Attribution analysis and its Importance to
Ensure Effective Measurement Control
• Understanding the break down of the
portfolio into its constituencies
• Analyse and interpret the contribution of the
stock selection and asset allocation from
your total return
• Multi-period analysis and its difficulties
• How to deal with multi-currency attribution
in your portfolios
• Learn the various methodologies and when
you should apply them:
- absolute contribution
- arithmetic attribution
- geometric/multiplicative attribution
PC Workshop: In this section you will be
provided with an overview of the most
commonly used industry methodologies and
how they differ from one another, allowing you
to put into practice what you have just learnt.
Benefit by having the opportunity to ask any
questions to your course leader and peers.
Globalisation of Presentation Standards
• Which criteria should be followed for the
presentation
• Verification
• Main regulatory bodies:
- AIMR (Association for Investment
Management and Research)
- NAPF (National Association of Pension
Funds)
- EFFAS (European Federation of Financial
Analysts’ Societies)
• Recent developments towards GIPS (Global
Investment Performance Standards)
- the main principles
- the main objectives
- how the globalisation of standards will
affect the practice in performance
measurement
- learn the requirements to come into
compliance with GIPS
Composite Construction to Enhance Your
Marketing Profile
• Grouping portfolios together with the same
mandate to achieve composite construction
• Consolidating the returns of portfolios to
enhance your marketing profile
• The standards regulation and their input on
composite construction
PC Workshop: Define a firm’s discretion to
allocate portfolios to composites in a
fictitious large global asset manager
Risk Adjusted Measures to Optimise Your
Portfolio
• Standard deviation/tracking error/M 2/ beta:
how to effectively use them to measure the
risk of your portfolio
• Understanding the ratios and their
implications in the performance
measurement process:
- SHARPE
- TREYNOR
- INFORMATION RATIO
- JENSEN and other Risk Adjusted
Measures
PC Workshop: Using calculated risk measures
to evaluate the performance of five portfolios
PC Workshop: This workshop will equip you
with the ability to effectively calculate the
risk of your portfolio and measure the
relationship between the risk and the overall
performance of your fund.
Adv Performance Measurement
and Attribution Analysis
A state of the art course that is essential for every investment
professional

Introduction The CAMEL(B) Approach to Analysis

“Good coverage of theory
• What constitutes a bank • Capital
• Types of banks • Assets with opportunity to cover
• Areas of risk • Markets the practice”
• Earnings P.L., Gartmore Investment
Risk Analysis Framework • Liquidity and liabilities
• Top down approach
Management
• Business
- country risk • Internal controls
- industry risk • Organisation
- bank specific risk • Management Course Dates
Understanding Organisational Structures Ratio Analysis 15-17 September 2004
• Concept of the universal bank/LCBO • Calculation and interpretation of principal
• Organisational structure based on functions ratios
16-18 March 2005
• Internal relationships • Using spreadsheets
• Front office, middle office and back office - standardise packages
• Key risk areas - bespoke spreadsheets
• Systems and control • Benchmarking
• The impact of e-business • Trend analysis
• Peer group analysis
Course Highlights
Structure of a Bank’s Financial Statements Focusing on the more
• Reporting requirements Group Case Study
advanced aspects of the
• Balance sheet Each group will be given basic data on two/
• Income statement three banks. During the course of the day performance measurement
• Accounting for non-performing loans they will be required to analyse each bank process, this course will
• Accounting for derivatives and prepare a presentation. Additional
information may be available if specifically
provide you with state of
• Other off balance sheet items
requested by the group. the art training in
• International comparisons and differences
• Initial considerations: Presentation of Case Studies
performance measurement
- liquidity The presentations will include: principles and benchmarks,
- quality of assets • List of all information sources requested the use of performance
- quality of earnings and utilised measurement techniques
- maintaining margins • Full analysis (where possible)
- ‘real’ earnings level
for derivatives, attribution
• Conclusions as to creditworthiness
• Specific recommendations analysis based on market-
The Regulatory Environment
timing and asset allocation
• The need to regulate the banking sector De-brief of Case Studies Presentation
considerations. Domestic
• The international dimension (Basel) Bank Failures
• EU Directives • Spotting the warning signs and international multi-
• Domestic regulation • Causes of failure currency perspectives in
- what is domestic regulation? • Anecdotal examples attribution analysis and the
- identifying the regulator • Lessons to be learnt
applications of the
- the role of the regulator • The way forward
- current developments performance presentation
standards (GIPS) and AIMR
Sources of Information
will also be addressed in
• Financial
• Non-financial detail.
• Key issues
• Reading the annual report

The Rating Agencies

• Different agencies
• Rating methodology for banks
• Comparison between corporate and bank
rating
• Rating symbols

☎ Booking Hotline
+44 (0) 20 7915 5602
www.iff-training.com 63

“An excellent course addressing
all the key characteristics of
hedge fund including
regulation and compliance”
F.D., Tudor
Course Dates
1-3 September 2004
24-26 November 2004
Course Highlights
The aim of this course is to
give delegates a useful set
of tools to understand the
often complex issues
surrounding hedge funds.
Delegates will gain an
appreciation of the
dynamics of the hedge fund
industry, the issues
surrounding hedge funds,
details of how such funds
operate, different type of
hedge fund strategies,
diversification effects of
adding hedge funds to
traditional investment
portfolios, legal, accounting
and back office issues.
COMING SOON
School of
Hedge Funds
Please contact us for more
information
☎ Booking Hotline
+44 (0) 20 7915 5602
64 www.iff-training.com
Fundamentals of
Hedge Funds
Gain a comprehensive overview of the hedge funds market and learn the
skills to effectively demystify the increasing complexity of strategies
adopted
Introduction to Hedge Funds Risk Characteristics of Hedge Funds
• Definition and history • Specific risks associated with hedge funds
• Reasons behind the recent growth in • Overcoming difficulties in applying effective
popularity risk management to offshore funds
• Market participants, their roles and • The importance of effective fund
relationships administration
- hedge fund managers
- prime brokers Investing in Hedge Funds
- custodians • Are hedge funds an alternative source of
- fund administrators returns?
• Low correlation with traditional asset
- sales managers
classes
Understanding Different Hedge Fund • Choosing a hedge fund or a hedge fund of
Strategies and Their Risks funds
• Identifying ‘Manager Edge’
• Equity/value investing
• Minimum investments
- long-only, short-only, long/short or
market neutral, value strategies, small • Entry and exit charges
caps, regulation D • Redemption procedure
• Non-directional • Are hedge funds appropriate for pension
• Statistical arbitrage funds?
- convertible bonds, warrants, volatility
Hedge Fund of Funds
arbitrage
• Event-driven • Single funds vs fund of funds: advantages
and disadvantages
- merger/risk arbitrage, distressed
investing • Characteristics and structure of fund of
funds
• Emerging markets
• How does a hedge fund of funds add
- long-only strategy
value?
• Fixed income
• Main issues investors should consider:
- high yield, bond arbitrage, mortgage
- fees
backed
• Momentum
- transparency
- disclosure
- high velocity investing
- liquidity
• Global macro
- risk reporting
- bets on currency and interest rate
movements • Identifying and measuring risks
• Funds of funds • Recent developments
- diversified investments in other hedge Regulatory Requirements
funds
• The structure and regulation of hedge funds
Practical Exercises: Delegates will have the • How to structure on-shore and off-shore
opportunity to work through a set of funds
• Taxation considerations
exercises exemplifying the manager’s hedge
fund styles • Legal issues and documentation
• Understanding the due diligence process
Performance and Structure of Hedge Funds • Accounting and reporting requirements
• Hedge funds vs. mutual funds
The Future of the Hedge Fund Industry
• Hedge fund performance vs. traditional
funds • The institutionalisation of hedge funds
• ‘Privatisation’ of investment bank
• The problem with performance data
• Limited data available
proprietary trading desks
• ‘Bancassurance’ - increasing focus on
• Hedge fund indices
‘asset-gathering’
• Fee structure
• Formation of vast asset management
• Returns, volatility of returns and the Sharpe
groups
ratio
• Structured or guaranteed return products
• Risk-adjusted returns and alpha
linked to hedge fund returns
• Leverage
• Ultimate buyers of Alternative Investment
• Concentration and diversification Groups are insurance companies
• Fund structure
Case Study: Showing the effect of adding
hedge funds to traditional portfolios
Private Banking and Wealth
Management
Learn how to formulate innovative strategies, improve your
customer relationships and effectively manage your client’s wealth

The High Net Worth Market • investment funds

• Industry trends and future directions in • multi-manager funds
global private banking Role Play 6: Relationship Management- Brand New Course
• Deregulation, globalisation and changing needs Explaining risk-adjusted returns
The Needs of HNWIs
ALTERNATIVE INVESTMENTS
• Client's risk profile and investment horizon
• Cross selling to other core areas within the bank
Derivatives and structured products
• Options and warrants
RELATIONSHIP MANAGEMENT • Principal protected notes
• Personal characteristics of clients • Reverse convertibles Course Dates
• Understanding your customer needs • Structured products linked to FX and Gold
• Preparing for a client meeting 12-14 July 2004
Role Play 7: Relationship Management-
• Getting the most from client meetings
Structured products for the risk-averse 1-3 December 2004
• Developing a client retention strategy
• Client referrals Hedge funds
Role Play 1: Relationship Management- • Classes of hedge funds
• Hedge fund strategies
Client meetings and phone meetings
- macro
CORE INVESTMENTS - arbitrage Course Highlights
Money Market and Deposits - event-driven
- market neutral This training programme
• Treasury bills and other Money Market
products - long-short covers the key areas of core
• Money Market Funds Role Play 8: Relationship Management- investment products,
• Deposits Appropriate allocations alternative investments,
• Interest Rate Structured Products
Private equity investment services, wealth
Role Play 2: Relationship Management- • Types of private equity funds
Importance of liquidity management advice and
• IPOs
Foreign Exchange relationship management.
INVESTMENT SERVICES Delegates will come away
• FX Yield enhancement products
Investment performance evaluation for HNWIs
• Dual currency deposits with a set of skills to enable
• Risk and return
• Risk management strategies
• Benchmarks them to identify new
Role Play 3: Relationship Management- • How to interpret risk adjusted measures marketing opportunities,
Global investors • Understanding the ratios and their improve their customer
Bonds and fixed income securities implications:
• Sharpe ratios, Information ratios relationships, enhance
• Government securities
• Eurobonds Role Play 9: Relationship Management-What customer retention and sell
• High yield do the numbers mean? more of their bank’s
Role Play 4: Relationship Management-Triple Risk management products and services.
A Portfolios • Interest rate and currency risks
Equity investments • Using yield curves
• Equity selection • Techniques for measuring risks
• Mutual funds • Benefits of diversification
• types of mutual funds WEALTH MANAGEMENT ADVICE
• selecting a fund based on risk objectives Trusts
Role Play 5: Relationship Management- • Types of trusts
Aggressive and defensive investments - off-shore trusts
- interest in possession trusts
Commodities - discretionary trusts
• Precious metals • Reasons for setting up trusts
• Using the futures markets • Tax considerations
Portfolio management Role Play 10: Relationship Management-
• Determining investors' objectives How can I trust you?
• Asset allocation Tax planning

☎
• Portfolio selection techniques • Impact of new legislation
• Different types of funds • Onshore vs. offshore centres Booking Hotline
- discretionary fund management
- non-discretionary fund management
• Favourable locations +44 (0) 20 7915 5602
• Tax saving structures
www.iff-training.com 65

“Very good course”
N.H., Reuters
Course Dates
27-29 September 2004
16-18 May 2005
Course Highlights
Over the three days you will
gain a comprehensive
understanding of the art of
tactical portfolio
management. You will learn
how to build asset
allocation models, the
approaches to portfolio
rebalancing and managing
risk, especially in
circumstances of market
volatility and global
exposure, currency
management in asset
allocation and strategies to
achieve consistent
performance of your
portfolio
☎
Booking Hotline
+44 (0) 20 7915 5602
66 www.iff-training.com
Global Asset Allocation
Your complete guide to portfolio management
Understanding asset pricing
• The structure of asset pricing
• Modelling structured returns
• Empirical risk premiums
• Factor model construction revisited
• Understanding BlackLittermann
• Bayesian alternatives
Asset allocation technology
• Alternatives to optimisation models
• Improving skill and precision of forecasts
• How to apply it in practice
Modelling global risk
• Taking a global view
• Understanding correlations between
markets
• The impact of global sectors and industries
• Analysing asset and currency effects
• Empirical evidence
The role of derivatives in asset allocation
• The role of synthetic assets in establishing
the strategic asset allocation
• Derivatives and the tactical asset allocation
process
• The choice between futures, swaps and
options:
- applying futures to rebalance portfolios
- applying forward exchange contracts to
currency overlay
- applying interest rate, currency and equity
swaps
- applying multi-asset options to asset
allocation
- using options to enhance yield, and for
portfolio insurance
Asset allocation fundamentals
• The investment process: strategic and
tactical asset allocation
• The globalisation of financial markets
• What is a benchmark?
• Exante versus expost tracking error
• Different styles of managing money
• Portfolio construction
A review of fixed income instruments
• Market overview
• Compounding rules
• Different types of fixed-income instruments
• Cash flow analysis
• Different yield figures
• The concept of duration and convexity
Workshop: Bringing fixed income theory into
practice
Fixed income risk models
• Discussion of the term structure
• Principal component analysis
• Credit markets
• Factor models
• GARCH models
• Assessment of currency risk
• Introduction to credit markets
• Global fixed income benchmarks
Reviewing modern portfolio theory
• Analytics of the efficient frontier
• Properties of the mean variance approach
• The role of transaction costs
• Discussion of the utility function
• Relative versus absolute optimisation
• Selecting a portfolio on the efficient frontier
A review of equity investments
• MSCI versus FTSE Index
• Different forecast models
• Assessing the forecasting capability
• Top down versus bottom up approach
• Sector analysis
• Specific versus market risk
• Factor analysis
Workshop: Illustration of the CAPM
The minimum variance approach
• Basic properties
• Investigating the structure of the correlation
• Existing minimum variance products
• A global sector approach
• Comparison to other simple strategies
• Backtesting of the minimum variance
strategy
Workshop: Computing minimum variance
portfolios
Balanced Portfolio
• Difference between equities and bonds
• A framework for comparing the
performance of bond vs. equity portfolios
(RAPP INDEX)
• Tailor-made benchmarks
• The role of convertible bonds
• Using derivatives
• Analysis of the investment strategy
• Assessing the portfolio managers
performance
Advanced portfolio techniques
• Multi-scenario approach
• Selecting an appropriate asset allocation
model
• Worst case analysis
• Discrete and Range Minimax
• The potential performance of different
investment strategies
• Software demonstration including on-line
optimisation of different forecasts
Fundamentals of Fund
Administration
Gain insight into the latest developments in managing controls and
processes and learn how to apply them in practice
Understanding investment funds
• Off-shore vs domestic funds
• Background, structures and types of funds
• Overview of the legal structures of funds
• Market nuisances in the different countries
and their implications on fund
administration
Roles and responsibilities
• Defining the responsibilities of each player
involved in the overall administration of the
fund
• Managing your relationship with:
- investment managers,
- brokers
- custodians
- fund sponsors
- trustees
- investors
• What actions are required in dealing with:
- AGM decisions
- mergers/takeovers
- corporate actions
Valuation and pricing of investment funds
• Book-keeping for all portfolio transactions
- when should a position be included in the
valuation?
- is it necessary to receive a broker
confirmation prior to recording a
transaction?
• Latest techniques to ensure “Best
Execution”
- market conformity checks
- broker agreements
- process to allocate transaction volume to
different brokers based on settlement
quality, research etc.
- handling of fund-to-fund transactions or
cross trades
• Posting of G/L entries
• Calculation of all management fees,
performance fees and any related expenses
• Calculation of accrued income - e.g.
coupon income, interest on cash balances,
dividends, etc.
• Computation of the value of the fund’s
asset
- identifying appropriate pricing sources
- when and which prices should be used
for international funds with holdings in
different time zones
- FX rates for conversion of FX amounts
- what procedures should be used for the
valuation of illiquid instruments?
• Daily calculation of the net asset value
(NAV)
• Calculation of daily distribution factor
Registrar and transfer agency services
• Maintenance of the shareholders’ register
for the fund
- issuing certificates
- amendments to investor details
- arrangements on death of shareholder
- powers of attorney
• Global transfer agency function
Client services in an international context
“Knowledgeable,
• Documentation and regulation
- master agreements for OTC derivatives approachable course leader
and repo transactions and comfortable venue”
- trusteeship
- scheme particulars F.D., Tudor
- key feature docs
- efficient portfolio management
- customer protection
• Reporting to clients
- preparation of financial statements Course Dates
- customised reporting and information
23-24 September 2004
- multi-currency and multi-instruments
reporting
- tax reporting 27-28 January 2005
Managing risk in fund servicing
• Relevance and implications of the Basel II
accord on asset management companies
• Defining risks
• Identifying sources of risk in fund
administration
Course Highlights
- valuations Dramatic developments in
- settlement
- reporting
the investment management
- information industry are placing an
- trading
increasing pressure on the
• Identifying risk situations in the workflow
• How can you control these risks: latest fund administration sector.
techniques and industry standards
Due to extensive industry
• Managing day-to-day risk and dealing with
exceptions demand, IFF has designed
• Monitoring of ‘Best Execution’
this intensive new training
• Legal requirements for the risk management
function programme specifically
structured to ensure that you
Case study
are fully updated on the
Risk relationships: Client/Counterparty/Bank
latest administrative
Compliance in fund administration:
• Legal compliance
procedures for dealing with
• How the compliance function differs from domestic and off-shore
the risk management function
funds.
• Monitoring of investment policy compliance
- comparison to internal and external
benchmarks or model portfolios
- over and underperformance
- tracking errors
- sensitive calculations
• Adhering to regulatory and client investment
restrictions
• Compliance with tax and regulatory rules
• Blue sky compliance
• Money laundering: to what extent are asset
management companies obliged to perform
money laundering checks?
Value added services
• Advice and assistance of fund
establishment and structuring
• Treasury function
• Straight through processing
• Safekeeping
☎
• Cash management
Booking Hotline
+44 (0) 20 7915 5602
www.iff-training.com 67

“The whole course was
excellent”
P.v.D., Railpen Investment
Course Dates
27-28 September 2004
14-15 February 2005
Course Highlights
This course will provide
participants with a solid
background on the securities
settlement and global
custody industry in order to
give confidence to
operations staff and middle
office in their dealings with
the front office. The course
will cover the most important
aspects of settlements: from
decision making to
purchasing or selling a
security to actual settlement
and safekeeping. It examines
the way in which cross
border settlements are
settled in the major markets,
the players who operate in it
and the instruments that
need to be settled. It will
also consider the changes
taking place in the industry.
☎
Booking Hotline
+44 (0) 20 7915 5602
68 www.iff-training.com
Securities Settlement,
Clearing and Global Custody
Become familiar with controls & processes to effectively manage
securities settlement operations
Introduction To Settlement
• Principles of Settlement
• Demystifying the jargon (RTGS, CSDA,
ASDA, netting, etc.)
• The G30 and ISSA
• Describing the steps in a typical trade cycle
• Industry initiatives driving change in the
market
The Role Of The Exchanges
• What is the role of the exchanges
• Order driven versus electronic markets
• Overview of alternative trading systems
• Disintermediation
The Role Of The Settlements Department
• Importance of settlement
• Relationships and responsibilities
• Management information: management
reports
• Explaining the relationships with at least
five of the counterparties dealt with in the
settlement of a typical trade
Settlement Conventions
• What are they and how do they differ by
security class in major markets?
- equities
- bonds
- derivatives
• Describing the generic process used for
clearing derivatives
• The role and function of the clearing house
• Understanding the basics of margining
Processes In Settlement
• Pre-settlement
- input of settlement
- instructions
- input scenarios
- matching
- monitoring transactions
- changing transaction input
- shaping deliveries - splits
• Settlement
- priorities and queues
- circle processing
- monitoring transaction settlement
- electronic transfer of title (ETT)
- bad deliveries
- SDRT
• The importance of securities timing
• Overcoming problem areas
• Cash management and FX - timing and
importance
• Settlement for residual securities
• The importance of reconciliation
Introduction To Global Custody
• Users and providers
• Context of global custody and primary
functions
• Sub Custodian/Payment systems overview
• Life cycle of a trade - the 7 linked phases of
processing
• The communications chain -
ICSD's, CSD's, etc.
• Trade settlement - demystifying the jargon
• Market practice: cut-off and value dates
• Safekeeping
Global Custody - Core Services
• Explaining what services a global
custodian needs to offer its clients
- settlement
- safekeeping of securities
- income collection
- corporate actions management
- cash management
- funding
- tax management
- reporting - the information chain
- SWIFT etc.
- banking facilities
Global Custody - Value-Added Services
• Investment accounting
• Master custody / master record-keeping
• Securities lending, equity repos and
collaterals
• Trustee services
• Portfolio valuation
• Collateral management
• Describing how securities lending operates
in simple terms
Corporate Actions
• What are they?
• Why do they occur?
• Common types of corporate actions and
examples
• The growing importance of proxy voting
• Importance of timing
• Industry initiatives
Overview of Operational Risk
• Definition of settlement risk
• Examples of what can go wrong
• Emerging markets risk
• Industry recommendations: G30 and ISSA
• Understand the impact of shorter
settlement times
- why real time settlement reduces risk
Industry Trends And The Future
• Changes taking place in the industry
• RTGS
• STP
• Alliances
• Other Industry Initiatives
Fundamentals of Derivatives
Operations
Get to grips with the procedures and processes to efficiently clear
and settle derivative transactions

Overview of derivative products Regulation and compliance

“Good, professional, but at
• Understanding their characteristics and • Overview of the regulation of derivatives
uses - capital requirements the same time relaxed”
- exchange-traded vs. over-the-counter - accounting treatment G.S., Swiss National Bank
derivatives • Client agreements
- futures and options • Clearing house default management
- interest rate, currency and equity swaps
- forwards and forward rate agreements Controlling derivatives risk
(FRAs) • Overview of derivatives risks
- commodities - transaction control
Course Dates
- management reporting
Workshop
- contracts and agreements 2-3 December 2004
Part I: Common uses of derivatives
• trading and arbitrage Derivatives Documentation 26-27 May 2005
• asset allocation • Understanding the terminology
• income enhancement • Purpose of documentation
• hedging • Purpose of confirmation
Part II: The involvement of the operations • OTC documentation
area
Workshop Course Highlights
Settlement conventions
Establishing a derivatives administration The aim of this course is to
• Describing the process used for clearing capability
derivatives provide delegates with a
- exchange traded derivatives detailed practical
- over-the-counter (OTC) derivatives
• Exchange for physical
understanding of the
• Cash and physical delivery procedures and processes
• Delivery, exercise and assignment involved with derivatives
Clearing and settlement of derivatives operations. Through
• The role of the clearing house intensive case-study
• The global clearing process analysis and worked
- allocations and give-ups
examples, the course will
- pros and cons of global clearing
• OTC settlement enable you to get to grips
- confirmation process for OTC with the most commonly
transactions
used products and gain a
- legal agreements
- price check clear understanding of how
- book-keeping the different instruments are
- RepoClear cleared and settled.
- SwapClear
• Reconciliation: internal and external
• Margining: initial and variation
• Collateral management
• Valuations
• Reporting
• Deliveries
- financial
- commodities

Impact of corporate actions on derivative

products
• Common types of corporate actions and
examples
• Role of the exchange
• Rights issues
• Capitalisation
• Takeovers, mergers and de-mergers
• Dividends ☎ Booking Hotline
+44 (0) 20 7915 5602
www.iff-training.com 69

“What I liked most about this
course was the good environment
created by the course leader
and the other delegates”
T.A.Z., Kipco Asset Management
Course Dates
11-13 August 2004
2-4 February 2005
Course Highlights
Focusing on the myriad of
standards and regulations of
the FRS13, IAS39, as well as
an invaluable overview of the
Capital Adequacy Directive
and Basel proposals. The
course will cover the current
accounting practices for
futures, FRAs, swaps and
options - including their
trading and hedging
applications, key
considerations in applied
accounting for foreign
exchange, the relationship
between derivatives, risk and
your job in accounting for
them, together with the
latest proposals in
derivatives accounting
practice.
☎
Booking Hotline
+44 (0) 20 7915 5602
70 www.iff-training.com
Accounting for
Derivative Instruments
Up-to-the-minute skills and techniques for the effective
accounting of derivatives and other investment banking products
Overview Of FRS13
• Background, objectives and scope
• Narrative disclosures
• Examples of disclosures of
accounting policies
• Introduction to GARCH
• Weighted average interest rate
and fixed rate liabilities
• Currency risk disclosures
US Comparison FRS13 v SFAS 133
• Measuring derivative trade fair
value under SFAS 133
• Quantitative disclosures
• Hedging and hedge effectiveness
• Comparison with IASAC (Canadian
Institute of Chartered Accountants)
Analysing The Objectives Of Accounting
• Providing management information on
values and exposures to risk
• Providing financial accounting information
regarding the profits, assets and liabilities of
the business
• Providing regulatory information
regarding the business
The General Principles Of Pricing And
Valuing Of The Derivatives
• Arbitrage free pricing methodology
• Basics about spot rates and
forward rates of interest
- their role in the arbitrage process
• Distinction between price and value for
some derivatives e.g.: futures
Current Accounting Framework
• Set-off and netting
• Trading vs. hedging
Pricing And Accounting For FRA’s, Future's
And Swaps
• Pricing and valuing FRA’s
- determining a fair price
- measuring and accounting for exposure
- hedging exposure
• Pricing and valuing interest rate
and currency swaps
- determining a fair price
- measuring and accounting for exposure
- hedging exposure
• Pricing and valuing equity index futures
- determining a fair price
- measuring and accounting for exposure
- hedging exposure
• Pricing and valuing bond futures
- determining a fair price
- measuring and accounting for exposure
- hedging exposure
Effectively Pricing And Accounting For
Options
• Pricing options using:
- Black-Scholes and its extensions
- binomial and trinomial models
- numerical methods
• Internal control of model application
• Developing a valuation process that is
consistent across all derivatives
• Critical analysis of the models
currently used for valuing options on:
- equities
- equity indices
- currencies
- bonds
- various types of futures.
• Measuring the sensitivities of options to
changes in the underlying variables
• Identifying volatility risk and
correlation in options
• Measuring exposure to volatility
risk and correlation risk
• Accounting for and reporting of
option exposure
Pricing And Accounting For Structured
Products, Exotic Options And Credit
Derivatives.
• Bonds with embedded interest rate
options and embedded equity options
• Exotic options
• FRN’s and swaps with embedded options
• Credit derivatives
Accounting For Foreign Currency Exposure
• The operations of the FX market
• Types of currency exposure
• Accounting guidelines
Effectively Measuring Risk And Exposure
• Differentiating between risk and
exposure in derivatives
• Measuring risk
• Identifying causes of risk for all derivatives
• For certain derivatives, a look at
- volatility risk
- correlation risk
• Examining some swaps and structured
products e.g. bonds with embedded
options
Value-at-Risk Under The New Regulatory
Environment
• The Capital Adequacy Directive (CAD)
• Definition of Value-at-Risk
• Methods of measurement
• Comparative analysis of methodologies
• What is Value-at-Risk trying to achieve
IFF Business Performance
Improvement

ANSWERS TO YOUR MOST FREQUENTLY ASKED QUESTIONS

The conclusive proof that IFF’s customised training products are the ultimate performance
solution is substantiated by our impressive client list comprising of the world’s leading financial
institutions.
We have trained thousands of professionals all over the globe with our highly tailored programmes
designed to meet the specific needs, requirements and demands of our clients.
In order to provide you with more information on this unique service, we decided to take this
opportunity to answer your most frequently asked questions:

1 How many people do I need to run an in-house customised course?

Numbers will vary depending on the course content, but we have trained groups as small as
4 and as large as 25. We even conduct one-to-one tuition for some of our clients.

2 Can you run the training at our location?

Yes, all courses can be delivered at your office premises anywhere around the world. This
enables our clients to make huge savings on travel and accommodation costs.

3 How customised are IFF programmes?

In most cases we will work with you and design the programme from scratch - this ensures
that the training is firmly focused on the needs of your organisation.

4 How is the course designed?

IFF will conduct an in-depth business needs analysis that will help us get to the very heart of
your training objectives - we will work with your staff and your managers to uncover what
skills and knowledge you need to achieve success.

5 Who will teach the course?

IFF’s trainers are recognised throughout the industry as being the very best in the
business. Our specialist trainers have been hand-picked for their expert knowledge and
practical expertise.

6 Can you train graduates?

Yes, IFF and our trainers have worked on substantial graduate training programmes over
the years.

7 How much does customised training cost?

The cost will vary depending on the topic and the trainer selected, but I can assure you that
the cost savings can be huge.

8 Do IFF charge extra for all this course customisation and design?
Absolutely not, we only charge for delivering the programme. All development costs are
undertaken by IFF.

9 How do IFF ensure the content is focused on my business?

Our in-depth needs analysis will give us a unique insight into the day to day activities of the
business. We will work extensively with your business managers and heads of departments
to ensure the training content is aligned with the business goals. We will also utilise case-
studies based on your data and systems to ensure applicability to your staff.

10 What banks have already used IFF for customised solutions?

The list is extremely extensive, but here is a partial list for your information: Goldman Sachs -
European Central Bank - Barclays Bank - Bank of England - ABN Amro - UBS Warburg -
Nomura - European Investment Bank - Citibank - Merrill Lynch - Bank of Bermuda - CFSB -
HSBC - Rabobank - Morgan Stanley Dean Witter - The Royal Bank of Scotland - Deutsche
Bank

11 I’m interested in IFF Business Performance Improvement, what do I need to do now?

Simply contact us via the following:

Tel: +44 (0) 20 7915 5602

Fax: +44 (0) 20 7915 5632
Email: enquiries@iirltd.co.uk ☎ Booking Hotline
+44 (0) 20 7915 5602
www.iff-training.com 71
 ☎
www.iff-training.com
+44 (0) 20 7915 5602
COURSE TITLE COURSE DATE 1 COURSE DATE 2 COURSE DATE 3 COURSE
PRICE REF: REF: REF:

DERIVATIVES & TRADING COURSES

Energy Markets and Energy Derivatives £2,199 23-25 Aug 04 LF2131C 8-10 Dec 04 LF2179C
Equity Derivatives £1,999 20-22 Sep 04 LF2106C 16-18 Mar 05 LF2229C
Fundamentals of Pricing and Trading Options £2,199 6-8 Sep 04 LF2146C 13-15 Dec 04 LF2205C 16-18 Feb 05 LF2206C
Exotic Options £2,199 27-29 Sep 04 LF2120C 9-11 Mar 05 LF2204C
Mastering Credit Derivatives £2,199 1-3 Dec 04 LF2201C 24-26 May 05 LF2241C
Fundamentals of Swaps £1,799 22-23 Nov 04 LF2202C 4-5 Apr 05 LF2242C
Advanced Swaps £2,199 24-26 Nov 04 LF2203C 6-8 Apr 05 LF2243C
School of Derivatives NEW £4,499 13-17 Sep 04 LF2194C 14-18 Mar 05 LF2195C
School of International Capital Markets £4,499 19-23 Jul 04 LF2116C 22-26 Nov 04 LF2182C 4-8 Apr 05 LF2219C
Fundamentals of Structured Products £1,999 25-26 Oct 04 LF2139C 11-12 Apr 05 LF2228C
Fundamentals of Global Financial Markets £2,199 20-22 Oct 04 LF2151C 9-11 May 05 LF2196C

RISK MANAGEMENT COURSES

Fundamentals of Risk Management £1,999 19-21 Jul 04 LF2096C 13-15 Dec 04 LF2177C 4-6 Apr 05 LF2230C
Operational Risk £1,799 18-19 Oct 04 LF2148C 7-8 Apr 05 LF2197C
Advanced Risk Management £2,199 1-3 Nov 04 LF2163C 13-15 Apr 05 LF2222C
School of Risk Management £4,499 6-10 Sep 04 LF2126C 7-11 Mar 05 LF2207C
Market Risk £1,899 15-16 Sep 04 LF2121C 2-3 Mar 05 LF2208C
Monte Carlo Simulation £799 17 Sep 04 LF2121W 4 Mar 05 LF2208W
Quantitative Value-at-Risk Analysis £1,899 27-28 Sep 04 LF2119C 4-5 Apr 05 LF2239C
Credit Risk Modelling £2,299 1-3 Sep 04 LF2152C 16-18 Feb 05 LF2209C
Integrating Market and Credit Risk £1,899 25-26 Oct 04 LF2145C 18-19 Apr 05 LF2238C
Assessing Economic and Regulatory Capital NEW £2,199 27-29 Oct 04 LF2164C 23-25 Feb 05 LF2246C
Understanding Basel II and Economic Capital NEW £1,899 21-22 Oct 04 LF2165C 21-22 Feb 05 LF2245C
Financial Engineering £2,199 18-20 Aug 04 LF2128C 13-15 Dec 04 LF2178C
Interest Rate Models £2,099 8-10 Sep 04 LF2136C 6-8 Dec 04 LF2193C
Bank Credit Analysis £1,699 27-29 Oct 04 LF2211C 11-13 May 05 LF2232C

BONDS & FIXED INCOME COURSES

School of Bonds & Fixed Income £4,499 13-17 Sep 04 LF2105C 7-11 Feb 05 LF2186C
Fundamentals of Global Bond Markets £1,899 8-9 Nov 04 LF2140C 14-15 Mar 05 LF2184C
Mastering Bonds Trading £2,199 10-12 Nov 04 LF2141C 16-18 Mar 05 LF2185C
Convertible Bonds £1,899 13-14 Sep 04 LF2127C 7-8 Mar 05 LF2240C

PROJECT FINANCE COURSES

Project Finance £2,299 9-11 Aug 04 LF2137C 13-15 Dec 04 LF2181C
The IFF School of Project Finance £4,499 12-16 Jul 04 LF2098C 8-12 Nov 04 LF2176C 14-18 Mar 05 LF2215C
Legal Aspects of Project Finance £1,899 14-15 Oct 04 LF2150C 3-4 Mar 05 LF2216C
Project Finance Modelling £2,199 18-20 Aug 04 LF2111C 6-8 Dec 04 LF2183C

CORPORATE FINANCE COURSES

Financial Modelling using Excel £2,199 21-23 Jul 04 LF2100C 1-3 Dec 04 LF2167C 4-6 May 05 LF2214C
Cashflow CDOs and Synthetic Structures £1,799 12-13 Jul 04 LF2097C 27-28 Oct 04 LF2172C 3-4 Mar 05 LF2233C
Asset Securitisation £1,999 22-23 Jul 04 LF2123C 6-7 Dec 04 LF2171C 7-8 Apr 05 LF2234C
Securitisation Cash Flow Modelling £1,799 4-5 Oct 04 LF2180C 24-25 Feb 05 LF2235C
Syndicated Loans £2,099 10-12 Nov 04 LF2155C 4-6 May 05 LF2237C
Loan Documentation £2,099 11-13 Oct 04 LF2166C 7-9 Mar 05 LF2213C
Corporate Finance £2,199 15-17 Nov 04 LF2135C 16-18 May 05 LF2224C
Corporate Restructuring NEW £2,099 3-5 Nov 04 LF2170C 6-8 Jun 05 LF2225C
Mergers and Acquisitions £2,099 13-15 Oct 04 LF2189C 20-22 Apr 05 LF2226C
Corporate Valuation Techniques £2,199 17-19 Nov 04 LF2149C 27-29 Apr 05 LF2212C
Management Buy-Outs £1,999 6-7 Sep 04 LF2134C 14-15 Feb 05 LF2190C
Private Equity and Venture Capital £2,099 20-22 Sep 04 LF2138C 9-11 Mar 05 LF2191C
International Trade Finance NEW £2,099 8-10 Nov 04 LF2143C 16-18 May 05 LF2227C
Corporate Credit Analysis £1,499 25-26 Oct 04 LF2210C 9-10 May 05 LF2231C

INVESTMENT MANAGEMENT COURSES

Fundamentals of Fund Management £2,099 14-16 Jul 04 LF2110C 1-3 Dec 04 LF2175C 13-15 Apr 05 LF2236C
Fundamentals of Hedge Funds £2,199 1-3 Sep 04 LF2132C 24-26 Nov 04 LF2192C
Fundamentals of Performance Measurement £1,899 13-14 Sep 04 LF2108C 14-15 Mar 05 LF2217C
Advanced Performance Measurement £2,299 15-17 Sep 04 LF2109C 16-18 Mar 05 LF2218C
Private Banking and Wealth Management NEW £2,099 12-14 Jul 04 LF2173C 1-3 Dec 04 LF2174C 1-3 Jun 05 LF2221C
Global Asset Allocation £2,199 27-29 Sep 04 LF2159C 16-18 May 05 LF2244C

OPERATIONS COURSES
Securities Settlement, Clearing and Global Custody £1,799 27-28 Sep 04 LF2162C 14-15 Feb 05 LF2187C
Fundamentals of Fund Administration £1,799 23-24 Sep 04 LF2112C 27-28 Jan 05 LF2188C
Accounting for Derivatives Instruments £2,099 11-13 Aug 04 LF2113C 2-4 Feb 05 LF2223C
Fundamentals of Derivatives Operations £1,799 2-3 Dec 04 LF2161C 26-27 May 05 LF2220C
* * * All prices are exclusive of VAT at 17.5% * * *
 Faxback Booking Form
+44 (0) 20 7915 5632
Please photocopy this form as
many times as necessary.
N.B. Places cannot be guaranteed until full payment has been received.

5 ways to register:
Fax: +44 (0) 20 7915 5632
Phone: +44 (0) 20 7915 5602
Customer Service Manager
Mail: International Faculty of Finance
8th Floor, 29 Bressenden Place, London SW1E 5DR

Booking Code: WEB E-mail: enquiries@iirltd.co.uk

Please register the following delegate(s) on the course(s)
(See page 72 for Reference Numbers)
PLEASE COMPLETE FORM IN CAPITAL LETTERS AND FAX ON +44 (0) 20 7915 5632
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YOUR REGISTRATION
1. Course name Book Early and Receive a Discount
Course Date Ref No: Book six weeks in advance and get a discount off the
Full Attendee Name Mr/Mrs/Ms following courses:
Position • IFF School of Bonds & Fixed Income
Dept • IFF School of Project Finance
2. Course name • Loan Documentation
Course Date Ref No: • Securities Settlements, Clearing & Global Custody
Full Attendee Name Mr/Mrs/Ms • Derivatives Operations
Position • Fundamentals of Fund Administration
Dept Call IFF Customer Services for details
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Address
Gain the Edge With IFF Business Performance Improvement

City Post Code All IFF programmes can be customised and tailored to the specific
needs of your staff, dramatically improving the effectiveness of
Tel Fax
your training ventures. Here’s why IFF Business Performance
©Copyright IIR Ltd. 2004 IFF reserve the right to alter the programme & speaker details.

Email Improvement is used by the world’s leading financial institutions:

Head of Department Mr/Mrs/Ms • Programmes designed to meet your specific needs
• We conduct an in-depth needs analysis for each client
Job Title Dept. • All programmes are taught by leading experts in their field
Booking Contact Mr/Mrs/Ms • We will deliver the course at your location anywhere around the world
• You will make substantial cost savings by training staff in house
Job Title
• Your staff will reach greater success by having the training
Billing Address (if different from above) focused on the goals of your business
Please call us now on +44 (0) 20 7915 5602 to find out more
about IFF Business Performance Improvement.
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