Treasury Risk Management
Equip yourself with the skills and knowledge to manage risk, allocate funds effectively and increase shareholder value.
Course Highlights
Attend this comprehensive training programme and you will:
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Learn how to identify treasury exposures
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Calculate and quantify interest rate and currency risk
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Understand how successful banks manage treasury risks
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Know how to implement treasury risk management policies which ensure the treasury function complies with the board’s strategy
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Understand the current regulatory regime and the implications for banks
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Understand the links between equity, commodity, interest rate and currency derivative hedging techniques
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Appreciate the differences between hedging in the forward, futures swaps and options markets
For details of the course trainer, please download the course brochure
Booking Information
| Dates | Prices | Book This Course | Discount |
|---|---|---|---|
| 02 - 03 Dec 2010 |
£ 1999 |
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| 09 - 10 Jun 2011 |
£ 1999 |
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|
Course Programme
TREASURY MANAGEMENT AFTER THE CRISIS
- Impact of the crisis on bank funding
- Impact of the crisis on risk management
- Implications for banks
- Implications for the treasury function
TREASURY RISK MANAGEMENT
- Asymmetrical risks
- Symmetrical risks
- Market risks
- Principles of hedging
- Mark-to-market vs. accrual accounting
Group Exercise: Participants will identify and categorise treasury risk management exposures for major banks and their customers.
MANAGING CURRENCY RISK
- Transaction and translation exposures
- Using the foreign exchange markets
- Major FX markets - structures
- What causes markets to move
- Spot versus forward rates
- Getting to grips with the different products
- Understanding arbitrage
Group Exercise: Participants will review the currency risk management activities of major banks and their customers.
MANAGING INTEREST RATE RISK
- Time value of money
- Future value and present value
- Implied repo rates
- Discount factors and compound factors
- Simple interest and compound interest
- Yield and return
- Act/act, act/360 and 30/360
- Interpreting the yield curve
- A guide to money market products
- Duration, PV01s and DV01s
Group Exercise: Participants will examine the riskiness of the money market products in the Financial Times from a bank treasurer's perspective.
USING FORWARD FORWARDS
- Calculating forward forwards with deposits
- Arbitraging forward rates and deposits
- Forward rate quotations
INTEREST RATE RISK MANAGEMENT – FRAS
- The mechanism of FRAs
- Calculating FRA rates
- Hedging and trading with FRAs
- Calculating the settlement amount
- FRAs and FX swaps
- Pricing forwards from FRAs
- FRAs and futures
Case study: Contrasting the use of FRAs and futures in treasury risk management
GETTING TO GRIPS WITH TREASURY RISK MANAGEMENT
- Interest rate risk
- Currency risk
- VaR and EaR
Group Exercise: Participants will review the impact of a range of risk management policies on the probability of default.
MASTERING THE PRACTICALITIES OF SPOT FOREIGN EXCHANGE
- Market structures and standard practices
- Spot rate quotations
- 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 from a bank and a corporate's perspective
THE APPLICATIONS OF FORWARD FX
- Calculating forward outrights
- Calculating swap points
- Hedging swaps with forwards
- Time options
- Interpolation
- A forward FX valuation model
- Par forwards, premiums and discounts
- Contangos and backwardations
OVERVIEW: APPLICATIONS OF INTEREST RATE AND CURRENCY OPTIONS
- Interest rate caps, floors and collars
- Hedging and trading with currency options
Case study: Interest rate options trading
Case study: Interest rate options hedging
Exercise: Currency options P/L dynamics
COVERED INTEREST ARBITRAGE
- Calculating interest differentials
- Expressing interest rate views
- Currency overlay
- Multicurrency debt management
Case study: Managing bank exposures
PRACTICAL TREASURY MANAGEMENT
- Marking to market
- Collateralisation
- Calculating profit and loss
- Spot exposure management
- Managing the residual risk in arbitrages
CURRENCY AND INTEREST RATE SWAPS
- Pricing: fixed/fixed
- Basis swaps: floating/floating
- Fixed/floating
- Initial and final exchanging of principal
- Valuing cash flows
- Market drivers
- Swap structures
Case study: EUR/USD fixed/fixed swap
Case study: Swaps risk management – differentiating hedging from trading and establishing their relative impact on the treasury.
THE REGULATORY ENVIRONMENT
- Recent developments
- Basel III
- Regulatory arbitrage
- Product development
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