The Essentials of Treasury Risk Management Training Course
Course Highlights and Agenda
Equip yourself with the skills and knowledge to manage risk, allocate funds effectively and increase shareholder value. During an intensive two days you will develop all the theoretical strategies and practical techniques to manage risk, allocate funds effectively and as a result, increase the all important shareholder value!
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Agenda
Treasury Management After the Crisis
- Impact of the crisis on the interbank market
- Impact of the crisis on risk management
- Implications for banks and companies
- Implications for the treasury function
- Treasury management policies and procedures
Group Exercise: Centralised and decentralised treasury management
Treasury Risk Management
- Asymmetrical risks
- Symmetrical risks
- Long and short positions
- Market risks
- Liquidity and operational risks
- Pricing principles
- Hedging principles
- Understanding IAS 39
- Mark-to-market and accrual accounting
Group Exercise: Treasury management at Nokia
Group Exercise: Treasury management at Evraz
Managing Currency Risk
- Transaction, translation and economic exposures
- Using the foreign exchange markets
- Major foreign exchange markets
- What causes market moves
- Spot versus forward rates
- Getting to grips with the different products
- Understanding arbitrage
Group Exercise: Currency risk management at StoraEnso
Group Exercise: Currency risk management at Southcorp
Group Exercise: Currency risk management at Apple
Managing Interest Rate Risk 1
- Time value of money
- Future value and present value
- IRRs, NPVs and NFVs
- Implied repo rates
- Discount factors and compound factors
- Simple and compound interest
- Yield and return
- Act/act, act/360 and 30/360
- IBIDs, IMEANs and IBORs
- Libor as a benchmark
- Libor as an index
- Interpreting the yield curve
- Liquidity, segmentation, habitat sand market expectations
- A guide to money market products
- Duration, PV01s and DV01s
- Duration weighted interest rate hedging
Group Exercise: Interest rate risk management at Vodafone
Forwards, Forwards/Forwards and Futures
- Calculating forward forwards with deposits
- Arbitraging forward rates and deposits
- Contracts for differences
- Forward rate quotations
Exercise: Hedging with FRAs
Managing Interest Rate Risk 2
- How FRAs work
- Positive and negative carry
- Calculating FRA rates
- Hedging and trading with FRAs
- Calculating the settlement amount
- FRAs and FX swaps
- Pricing forwards from FRAs
- Negative convexity
- FRAs and futures
Discussion: The practical applications of FRAs, futures and interest rate swaps in treasury risk management
Getting to Grips with Risk Management
- Interest rate risk management
- Currency risk management
- VaR, EaR
- The rules of risk management
Group Exercise: Understanding VaR
Mastering the Pracalities of Spot Foreign Exchange
- Market structures and standard practices
- Spot rate quotations
- Forecasting spot rates
- Profit and loss strategies
- Base and variable currencies
- Direct and indirect quoting
- Calculating cross rates and cross trading
- Spot dealing strategies
- Market liquidity
- Market making
Exercise: Calculating cross rates for banks and their clients
The Application of Forward Foreign Exchange
- Calculating forward outrights
- Forward outrights and FX swaps
- FX swaps and currency swaps
- Calculating swap points
- Hedging swaps with forwards
- Time options
- Interpolation
- A forward FX valuation model
- Par forwards, premiums and discounts
- Contangos and backwardations
- Common pitfalls in hedging
Discussion: The practical applications of Forward outrights, FX swaps and currency swaps
Overview: Applications of Interest Rate and Currency Options
- Case Study: Currency options trading
- Case Study: Currency options hedging
- Exercise: Currency options P/L dynamics
- Case Study: Interest rate options trading
- Case Study: Interest rate options hedging
- Interest rate caps, floors and collars
Covered Interest Arbitrage
- Calculating interest differentials
- Expressing interest rate views
- The carry trade
- Currency overlay
- Multicurrency debt management
Case Study: Analysing the popularity of the carry trade – asymmetrical P & L profiles
Practical Treasury Management
- Marking to market
- Collateralisation
- Calculating profit and loss
- Spot exposure management
- Managing the residual risk in arbitrages
Case Study: Multicurrency debt management at Vodafone
Currency and Interest Rate Swaps
- Pricing: fixed/fixed
- Basis swaps: floating/floating
- Fixed/floating
- Initial and final exchanges of principal
- Valuing cash flows
- Market drivers
- Swap structures
Case Study: Swap driven bond issues
Case Study: Swaps risk management – differentiating hedging from trading and establishing their relative impact on the treasury
The Regulatory Environment
- Regulatory pressure
- Basel III
- Regulatory arbitrage
- The creativity of the banks
- Product development
- The future for treasury risk management
- Summary: risk management principles
What You Will Learn
Attend this comprehensive training programme and you will:
- Learn how to identify treasury exposures
- Calculate and quantify interest rate and currency risk
- Understand how successful banks manage treasury risks
- Know how to implement treasury risk management policies which ensure the treasury function complies with the board’s strategy
- Understand the current regulatory regime and the implications for banks
- Understand the links between equity, commodity, interest rate and currency derivative hedging techniques
- Appreciate the differences between hedging in the forward, futures swaps and options markets
Reviews
"I got a good comprehensive overview of theories and practice in my field."
"Interesting discussions between the delegates during lunch & breaks"
"What I liked most about the course was the course leader…the course gave me a deeper understanding and analysis of the current future and swaps."
