Asset and Liability Management
Training
Inhouse
Description
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Type
Training
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Methodology
Inhouse
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Class hours
6h
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Duration
1 Day
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Start date
Different dates available
At the end of the course delegates should be comfortable with the techniques of asset and liability management within an organisation's treasury, including the role of derivative instruments. They will also fully understand the need for risk identification, control and management within a treasury and the tools and methodologies that aid and quantify this process.
Important information
Government funding available
Facilities
Location
Start date
Start date
Reviews
Subjects
- Asset Management
- Liability management
Teachers and trainers (1)
Former Practitioner
Contact us for details enquiries@redcliffetraining.co.uk
Course programme
Asset and Liability Management
At the end of the course delegates should be comfortable with the techniques of asset and liability management within an organisation's treasury, including the role of derivative instruments.
They will also fully understand the need for risk identification, control and management within a treasury and the tools and methodologies that aid and quantify this process.
Course Content
Asset and Liability Risk Management Defined
The role of the treasurer examined
Aspects of risk and the concepts of control
Defining the strategy
Setting limits
Interest Rate Exposure Analysis
Money market instruments used in hedging
Libor related products: CD, TBills, CP and Trade Paper
International and selected domestic bond markets
Traditional pricing techniques of "straight" bonds
Modern, economically true pricing
Measures of risk exposure: duration and convexity
The validity of yield curve analysis
The zero-coupon curve
FRNs, zero-coupon, convertibles and warrants
Embedded options and "yield to call or put" vs "yield to maturity"
Basis point value, "Omega" risk analysis and basis risk
Interest Rate Exposure Hedging- Short term
FRAs and financial futures as sources of hedging
Differences between exchange traded and OTC products
"Futures equivalent" methodology
Stacking vs stripping: the case for each technique
Cost of carry and futures settlement
Practical issues re settlement, accounting, control of futures
Interest Rate Exposure Hedging- Longer term
Interest rate swaps examined as a source of hedging
Swaps vs. on-balance-sheet instruments.
ISDA documentation and elective clauses.
How to account for swaps: banking book vs trading book
Currency swaps: special risks analysed
Accreting, amortising, roller-coaster swaps and asset swaps
Monitoring and hedging basis swaps
Interest Rate Exposure Hedging- Asymmetrical Products
Hedging the banking book
Interest rate caps, floors, collars and swaptions
Option "Greeks", and monitoring and control of exposures
Foreign Exchange
Traditional spot and forward foreign exchange methodologies
The mathematical relationship to money markets
The economics of foreign exchange and forecasting methods
Foreign exchange management within a treasury
Option strategies, risks and exotic options
Stress testing foreign exchange exposure
Further Issues in Asset and Liability Management
Reporting, analysis and control
Monitoring the strategy
Developing issues
Asset and Liability Management