This full day workshop provides a comprehensive overview of advanced Foreign Exchange (FX) Risk management including sophisticated Hedging strategies, from foundational concepts to complex hedging needs, and key regulatory/strategic challenges faced by Risk Managers and portfolio managers. The course investigates the limitations of vanilla strategies and provides sophisticated instruments and frameworks necessary for effective risk mitigation in today’s volatile markets.
The workshop provides an overview of the advanced techniques within the current regulatory and accounting landscape, clarifying the impact of IFRS 9, ASC 815, and Basel III/IV on hedging program design and effectiveness assessment. The session includes worked examples and case studies for advanced hedging instruments, moving beyond Forward based vanilla hedging to analyse the strategic application of structured products - such as participating forwards, seagulls, and barrier options - for cost reduction, yield enhancement, and tailored risk exposure. Practical quantitative exercises help delegates with tools to evaluate the payoff profiles, risks, and true cost of these complex structures.
The workshop focuses on integrating FX risk into a holistic enterprise risk management (ERM) framework. The course describes currency overlay programs, hedge optimization for multi-currency portfolios and illiquid assets, and advanced performance attribution to separate hedging cost from currency alpha. Delegates are introduced to rigorous methodologies for risk budgeting, stress testing, and scenario analysis to prepare for market dislocations.
Specialized topics such as Emerging Market/NDF hedging and considerations for specific institutional types like family offices and insurers are described with industry examples and case studies, ensuring relevant and actionable insights for all attendees. Delegates will gain advanced knowledge and analytical frameworks required to design, implement, and oversee robust, strategic, and defensible FX risk management programs.
The workshop provides an overview of the advanced techniques within the current regulatory and accounting landscape, clarifying the impact of IFRS 9, ASC 815, and Basel III/IV on hedging program design and effectiveness assessment. The session includes worked examples and case studies for advanced hedging instruments, moving beyond Forward based vanilla hedging to analyse the strategic application of structured products - such as participating forwards, seagulls, and barrier options - for cost reduction, yield enhancement, and tailored risk exposure. Practical quantitative exercises help delegates with tools to evaluate the payoff profiles, risks, and true cost of these complex structures.
The workshop focuses on integrating FX risk into a holistic enterprise risk management (ERM) framework. The course describes currency overlay programs, hedge optimization for multi-currency portfolios and illiquid assets, and advanced performance attribution to separate hedging cost from currency alpha. Delegates are introduced to rigorous methodologies for risk budgeting, stress testing, and scenario analysis to prepare for market dislocations.
Specialized topics such as Emerging Market/NDF hedging and considerations for specific institutional types like family offices and insurers are described with industry examples and case studies, ensuring relevant and actionable insights for all attendees. Delegates will gain advanced knowledge and analytical frameworks required to design, implement, and oversee robust, strategic, and defensible FX risk management programs.
Course Content
Background & Regulatory LandscapeCase Study: Implementing a hedge accounting framework for a multi-currency bond issuanceAdvanced Hedging Instruments & StructuresFX Risk in Integrated Risk ManagementPortfolio & Asset-Liability Management (ALM) Perspective:Risk Budgeting & Performance Attribution:Quantitative Approaches & Hedge OptimisationHedge Ratio Optimisation:Machine Learning Applications:Cost-Benefit & Execution Analysis:Key Complexities & Horizon Scanning
The evolving FX Risk Operating Model from transaction exposures to holistic balance sheet and strategic risk
IFRS 9 / ASC 815 hedge accounting complexities
From Vanilla Hedging to Structured forwards (participating, forward extra, accumulators), seagulls, cylinders
Cost reduction strategies with barrier options (KO, KI, DNT)
Worked Example: Pricing and risk metrics for exotic structures
Currency overlay programs for asset managers and insurers
FX alpha vs. hedging cost
Minimum variance, mean-CVaR, and utility-based approaches
Predicting hedge effectiveness and basis risk
Liquidity considerations and market impact
Emerging Market & Non-Deliverable Forward (NDF) Hedging: Liquidity, documentation, and roll risk
Speaker
The Training Director is a successful industry expert and program director with over 20 years of experience leading successful multi-disciplinary initiatives to achieve regulatory compliance and strengthen performance for asset managers, wealth managers, hedge funds, insurers, banks and brokerages. Subbu specialises in Asset Management Target Operating Model and Governance; sophisticated portfolio management and Structuring strategies, Risk Management and Yield enhancement within the Investment Management product lifecycle.He has led numerous strategic initiatives with firms such as Ruffer, Barclays, HSBC, Deutsche Bank, M&G and T Rowe Price.
He is a member of industry associations such as the Investment Association, Irish Funds, ALFI and AIMA. He is also a member and advisor of Industry association committees for regulatory consultations with bodies such as ESMA, FCA, PRA/Bank of England and SEC.
