DYNAMIC HEDGING PROGRAM SERIES

2012 Course Overview


DYNAMIC HEDGING ESSENTIALS is a half-day classroom training session designed to provide a review of essential dynamic hedging concepts.

  • Learn industry practice regarding dynamic hedging programs
  • Calculate first, second, third order Greeks and cross Greeks
  • Execute delta hedge
DYNAMIC HEDGING MASTER CLASS is an advanced one-day program covering the key elements of executing a dynamic hedging program to hedge equity-based guarantees and provides hands-on practice through case studies and application exercises.

  • Learn how to implement a dynamic hedging program
  • Review economic scenario generators and nested simulation
  • Learn how to simulate and evaluate dynamic hedging strategies
  • Quantify cost and risk distribution of GMWB
  • Understanding hedge effectiveness and attribution analysis
  • Perform fund mapping
  • Calculate trading grid
  • Produce risk report
  • Execute dynamic hedging strategy
DYNAMIC HEDGING WORKSHOP is a half-day focus group discussion and networking opportunity for dynamic hedging practitioners. Risk professionals working for insurance com­panies who are involved in the dynamic hedging process and who are able to participate in an industry focus group discussion of current issues, solutions and benchmarking. There is no cost to attend but participation in the facilitated discussion is by invitation* only covering the following topics.

  • Survey of industry practices
  • Identification of challenges and issues facing industry
  • Benchmarking – hedge effectiveness, grid processing speed
*Note that participation in the workshop is by invitation only. Inter­ested participants may request an invitation. There is no requirement to register for either the Essentials or Master Class in order to attend.

Join your colleagues and listen as leading experts and money managers discuss their solutions.

Courses


Dynamic Hedging Essentials
Master Class, & WorkshopApril 26-27


Location: Chicago, US





Pre-course material, assigned readings and a number of application exercises will be provided for the participant to cover outside of class time. Participants will also be trained to use several valuable utilities and templates that are yours to keep and provided as part of the course fee.

*   Delegates who register for either Essentials or Master Class are encouraged to request an invitation to the Workshop which is offered at no cost to risk professionals currently working in dynamic hedging for insurance companies.  The Workshop consists of industry focus group discussions and provides practitioners a forum to discuss issues, challenges and their solutions and benchmark performance and hedge effectiveness.

Who Should Attend

ESSENTIALS

  • Risk professionals already familiar with many of the concepts, but who want a refresher and deepen their knowledge;
  • Professionals looking to enter into the field of Dynamic Hedging;
  • Investment bankers wanting to provide sound Dynamic Hedging solutions to their clients;
  • Actuaries looking to gain a more in-depth knowledge of this key area of practice;
  • Senior management looking to gain a firm grasp of the financial risks facing their organizations, make more effective business decisions;

MASTER CLASS

  • Risk professionals already well versed in the underlying theory, but who want to gain further deep insight into the tools and techniques that are used in industry practice today;
  • Professionals looking to enter into the field of Dynamic Hedging and who are willing to invest some additional time to learn the basic concepts covered in the Essentials class;
  • Asset managers and investment bankers wanting to provide sound Dynamic Hedging solutions to their clients;
  • Actuaries looking to gain a more in-depth knowledge of this key area of practice;

WORKSHOP

  • Risk professionals working for insurance companies who are involved in the dynamic hedging process and who are able to participate in an industry focus group discussion of current issues, solutions and benchmarking.

 

What You Will Gain

  • Learn industry practice regarding dynamic hedging programs
  • Calculate first, second, third order Greeks and cross Greeks
  • Execute delta hedge
  • Learn how to implement a dynamic hedging program
  • Review economic scenario generators and nested simulation
  • Learn how to simulate and evaluate dynamic hedging strategies
  • Quantify cost and risk distribution of GMWB
  • Understanding hedge effectiveness and attribution analysis
  • Perform fund mapping
  • Calculate trading grid
  • Produce risk report
  • Execute dynamic hedging strategy
  • Survey of industry practices
  • Identification of challenges and issues facing industry
  • Benchmarking – hedge effectiveness, grid processing speed


CFA Institute has approved this program, offered by Nexus Risk Management, for 12 CE credit hours. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.


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