LAUNCH DATE: 6th of November 2017 (6,7,8,9,10)

• Diploma 1: Foreign Exchange & FX Options
• Diploma 2: Fixed Income & Money Markets
• Diploma 3: Liability and Risk Management
• Diploma 4: Advanced Derivatives

Diploma 1 Foreign Exchange & FX Options

Overall Objective
Candidates confidently deal with FX spot, swap and forward transactions, currency options, using bid-offer spreads, recognize arbitrage-relationships, collateralization, structure and price simple strategies and understand the basics of standardized exotic options (in the sense of the ISDA Definitions). Candidates will conduct option valuation and interpret risk management figures. A focus will be on understanding the meaning of hedge sensitivities (Greeks) in the context of trading and risk management, the relationships among these Greeks and Greeks of higher order. Candidates will be able to structure risk management solutions for corporate treasury using vanilla and basic exotic options as their building blocks; these exotic options include mainly barrier, touch, digital options as well as variance and volatility swaps. Part of the working knowledge in FX options will include the FX volatility smile for vanilla options and apply vanilla structures to manage the risk of changing volatility and shape of the smile surface. Candidates will be able to judge which combination of products cause which type of risk for different client types.

Learning Objectives

1. Know: Candidates should be able to recall what they have learned
2. Understand: Candidates should be able to demonstrate comprehension on what they have learned
3. Apply: Candidates should be able to use what they have learned to achieve an accurate result
4. Analyse: Candidates should be able to review content and make an informed decision and draw conclusions
5. Evaluate: Candidates should be able to extract meaning from what they have learned

• Topic 1 FX Spot, FX Forward Outright and Swaps, Cross Rates, ForwardForwards, NDF, Time Options
• Topic 2 Valuation and Hedging of FX Positions and Arbitrage Opportunities
• Topic 3 Fundamentals of FX Options and Pricing with Black and Scholes
• Topic 4 Structuring with Plain Vanilla Options
• Topic 5 Greeks and Hedging
• Topic 6 Standardized Exotic Options

Diploma 2 Fixed Income & Money Markets

Overall Objective

The objective of this unit is to understand the historical evolution and central functions of fixed income & money markets and its related financial derivatives and to acquire a broad range of practical skills such as: how to apply derivatives in Hedging and Asset & Liability Management and manage spot and forward FX positions, how to apply interest swaps in managing interest rate risk and how to value structured interest products. In addition, candidates are taught to exploit fixed income instruments and understand their interrelationships. They will learn the relevant pricing mechanisms, and display a good working knowledge and understanding of the rationale for various special kinds of interest rate contracts including interest rate options. Candidates understand Fixed Income derivatives pricing, hedging, risk management, applications in treasury and derivatives documentation and regulation. A focus will be on Interest Rate Swaps, Swaptions, Caps and Floors, Exotic Options, structured products, and inflation related products, taking into account common pricing platforms. For this kind of derivatives candidates will be able to use risk management quantities (Sensitivities) to gauge the risk in a portfolio of Fixed Income products

Learning Objectives

1. Know: Candidates should be able to recall what they have learned
2. Understand: Candidates should be able to demonstrate comprehension on what they have learned
3. Apply: Candidates should be able to use what they have learned to achieve an accurate result
4. Analyse: Candidates should be able to review content and make an informed decision and draw conclusions
5. Evaluate: Candidates should be able to extract meaning from what they have learned 

• Topic 1 Advanced Money Market
• Topic 2 Fixed Income
• Topic 3 Non-Option Interest Rate Derivatives
• Topic 4 Plain Vanilla Interest Rate Options
• Topic 5 Exotic Interest Options & Structured Products
• Topic 6 Credit Derivatives

Diploma 3 Asset, Liability and Risk Management

Overall Objective

Asset Liability Management (ALM) is Banking Book Risk Management. ALM covers liquidity, interest rate risk in the banking book, the treatment of forex exposures arising from banking book positions as well as any and all structural issues of bank balance sheet management including a high level perspective on credit risk. ACI Diploma holders should understand the fundamental challenges of banking book management in commercial banks and other retail lenders. These include the behavioural risks and embedded optionalities in client assets and liabilities that may impact the liquidity, interest rate risk and forex profile of the institution. Solid knowledge of long-term funding opportunities, capital adequacy, regulatory constraints and supervisory review expectations vis-à-vis internal risk management practices will also be covered. With this appreciation of the underlying issues in ALM, ACI Diploma holders will be in a position to structure derivatives, propose hedging strategies and devise other balance sheet management solutions for retail banking counterparties and in-house business lines.

Learning Objectives

1. Know: Candidates should be able to recall what they have learned
2. Understand: Candidates should be able to demonstrate comprehension on what they have learned
3. Apply: Candidates should be able to use what they have learned to achieve an accurate result
4. Analyse: Candidates should be able to review content and make an informed decision and draw conclusions
5. Evaluate: Candidates should be able to extract meaning from what they have learned

• Topic 1 Fundamentals of Asset & Liability Management
• Topic 2 Interest Rate Risk in the Banking Book
• Topic 3 Forex Exposures in the Banking Book
• Topic 4 Liquidity Management
• Topic 5 Credit Risk
• Topic 6 Market Risk

Diploma 4 Advanced Derivatives

Overall Objective Candidates should learn how to deal with advanced derivatives across asset classes in terms of pricing, hedging, risk management and documentation. They should recognize products, trading strategies, develop an understanding how to decompose complex structures into simple building blocks, and know when such decomposition is not possible. Candidates should know the relevance of pricing models, how they are used and what their limitations are. Key to dealing advanced derivatives is evaluating the volatility smile surface and classifying different sources of risk. Additionally, candidates will learn which market data is relevant for pricing a pre-specified transaction.

Learning Objectives

1. Know: Candidates should be able to recall what they have learned
2. Understand: Candidates should be able to demonstrate comprehension on what they have learned
3. Apply: Candidates should be able to use what they have learned to achieve an accurate result
4. Analyse: Candidates should be able to review content and make an informed decision and draw conclusions
5. Evaluate: Candidates should be able to extract meaning from what they have learned

• Topic 1 Volatility Surfaces & Smile Construction
• Topic 2 First Generation Exotics: Products, Pricing & Hedging
• Topic 3 Most Relevant Models in Derivative Valuation
• Topic 4 Single Underlying Derivatives beyond First Generation Exotic Options
• Topic 5 Multi Asset Derivatives
• Topic 6 Long Term Options & Hybrids