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Capital Markets BootCampSM

July 29 - 31, 2008
New York City, Bayard's, One Hanover Square
21 CPE Credits

Instructor: Prof. Bernard S. Donefer
Hours: 9:00 am - 4:30 pm each day; Registration/Breakfast begins at 8:30 am

Undergraduate and even MBA degrees in finance don’t prepare you for the realities of how markets and their underlying infrastructure work. Whether you are new to the field or have been focused on the specifics of your job, this three-day course will put the financial services industry into a broader context.

 Topic 1  Introduction to the Financial Services Industry

  • How is the financial services industry organized

  • What are the functions of banking, securities, insurance, markets

  • Differences between retail and institutional, buy side and sell side

  • What is the impact of market convergence

  • What is financial intermediation

  • How firms raise capital, The IPO process and Google’s Dutch auction

  • How to research a firm

 Topic 2  Intro to Modern Portfolio Theory

  • What is the logic in portfolio creation

  • What is the Capital Asset Price Model (CAPM)

  • What is the Efficient Markets Hypothesis (EMH)

  • Risk vs. reward in creating portfolios

  • How has this driven the market for index funds

  • What are the problems in the theory

 Topic 3  General Introduction to Markets and Trading

  • What are the functions of markets

  • Types of market models, quote drive, order driven, dealer, electronic matching

  • Who are the players in placing an order from buy side to sell side to market

  • What are mutual funds, hedge funds, ETF’s

  • Order types, market, limit, reserve, etc. and how they’re used

  • Quoting of bids and offers – reading a quote

  • Impact of decimalization

 Topic 4  Order Management Systems

  • How was trading done via the phone

  • What systems manage order flow for the buy and sell side now

  • How are they connected with the FIX protocol

  • How do they work

  • What are the differences between retail and institutional systems

  • What is Straight Through Processing (STP) and its benefits

 Topic 5  New York Stock Exchange

  • What was the history of the NYSE

  • How is the floor organized in posts and booths

  • What is a seat

  • Who are the people on the floor, brokers, (house and $2) and the specialists - What do they do

  • What systems do they use, DOT, BBSS, Display Book, CAP

  • What is the trading process

  • What happened in 2005 – the new NYSE Group

  • Merger with Arca Exchange

  • Implications of Reg NMS

  • Creation of Hybrid exchange – the new trading process

  • International mergers

  • Future of the NYSE

 Topic 6  NASDAQ

  • What is the history of NASDAQ

  • How did abuses and regulation drive it

  • How does its multi-dealer model work; What is its trading process and rules

  • What are NASDAQ level I, II and III quotes

  • How does an order book work

  • What systems did they use, SOES, SuperSOES, etc.

  • What was the impact of ECNs

  • Acquisitions of INET and BRUT by NASDAQ

  • What happened when NASDAQ became an “exchange”

  • NASDAQ Market LLC and the Trade Reporting Facility (TRF)

  • What are NASDAQ’s future plans

 Topic 7  Institutional Trading

  • The institutional search for liquidity

  • Transaction Cost Accounting (TCA/TCR)

  • Benchmarks, VWAP, implementation shortfall etc.

  • Direct Market Access (DMA)

  • Execution Management Systems (EMS)

  • Alternative Trading Systems, e.g., Liquidnet, Pipeline, etc.

  • Algorithmic Trading

  • Dark liquidity

  • Post trade analytics

  • Stat arb, pairs trading and other quantitative trading methods

 Topic 8  Introduction to Fixed Income

  • Fixed income instruments
    --Treasuries, corporates, money markets, munis

  • Yield and return

  • Duration and convexity

  • Trading models, dealers and electronic

  • Interest rate swaps

  • Structured finance – CMO’s, CDO’s, CLN’s

  • What went wrong with sub-prime mortgages

  • Delphi short squeeze and ISDA settlement

 Topic 9  Introduction to Foreign Exchange and Forwards

  • Why trade forward or future

  • How to read FX rates

  • What are FX forwards

  • How are forward rates calculated

  • How are FX rates related – purchasing power parity

  • How are cross rates calculated

  • FX swaps

 Topic 10  Introduction to Futures, Options and SWAPS

  • What are futures

  • How are they traded

  • What is in the futures contract

  • What are the margin requirements

  • What are options

  • How are they traded

  • How are they valued – Black Scholes model

  • What are the Greeks

  • How do futures and options differ

 Topic 11  After the Trade

  • What is clearance

  • What is settlement

  • What are T+1 and T+3 processes

  • What are the functions of a prime broker, or custodian

 Topic 12  Introduction to Risk Management

  • What is risk

  • What is the Basel II Accord

  • What are market, credit, liquidity and operational risk

  • What is Value at Risk (VaR)

  • What are Sharpe and Sortino ratios

  • What are keys to a risk management system

 Wrap up, summary and sources of further information.

 Capital Markets BootCamp is a Registered Service Mark of Conatum Consulting LLC.
 





 
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