Treasury Risk Solutions

London Financial Studies

Short course

In New York (USA), London and Singapore (Singapore)

£ 3001-4000

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Description

  • Duration

    3 Days

  • Start date

    Different dates available

This course provides practical focus on coverage of the management techniques for treasury activities in financial, corporate, and government institutions. Despite organisational differences, treasuries in these various types of institutions share important similarities related to the identification, measurement, and management of risks related to cash flows, fair valuation and counterparty credit.

Practical sessions introduce frameworks for identifying and measuring these risks and evolves into selected numerical techniques using Excel for optimal risk management. Analytical numerical techniques are practiced through Excel with add ins developed specifically for these applications. All math and statistical concepts are taught through practical applications in Excel, thus avoiding complex theoretical notations and formulas.

Facilities

Location

Start date

London
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34 Curlew Street, se12nd

Start date

Different dates availableEnrolment now open
New York (USA)
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Start date

Different dates availableEnrolment now open
Singapore (Singapore)
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The Finexis Building

Start date

Different dates availableEnrolment now open

About this course

Treasury professionals at banks, financial institutions and corporates
Risk managers and analysts
Treasury sales, FX & money markets
Marketing & relationship managers
Liquidity and cash management investment managers
Treasury mid- and back-office operations
Accountants, auditors, and compliance
Finance directors & financial controllers
ALCO and asset-liability-focused management

Delegates should be familiar with basic treasury activities as well as standard financial risk metrics including bond yield and present value maths, PV01, Value at Risk (VaR), Counterparty Credit Valuation Adjustments (CVA) and FVA, option “Greeks”. Readings will be made available for selected technical topics for review before the course depending upon individual delegate needs.

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Reviews

This centre's achievements

2016

All courses are up to date

The average rating is higher than 3.7

More than 50 reviews in the last 12 months

This centre has featured on Emagister for 16 years

Subjects

  • IT risk
  • Risk
  • Treasury
  • Credit
  • Cash Flow
  • MS Excel
  • Excel
  • Investment
  • Financial
  • Financial Training
  • Treasury Cash Flow Risks
  • Treasury Risk
  • FX Movements
  • Risk Management
  • Strategy
  • FX
  • Financial Institutions
  • Obligor
  • Financial Performance
  • Capital Risk

Teachers and trainers (1)

William Allen

William Allen

Teacher

William Allen has over 35 years working in banking and finance. He is a senior consultant and speaker in the areas of executive bank management, ALM, treasury, risk management, capital markets, derivatives, and portfolio management. Mr Allen previously worked with JP Morgan in treasury, capital markets, risk management, securities and derivatives activities. Before consulting he worked as a portfolio manager and chief investment officer of a university endowment.

Course programme

Day One

Treasury and Risk Management Organization and Strategy
  • Challenges for treasury risk management in various types of institutions
  • Similarities and differences across banks, financial institutions, and corporates
  • Benefits of common tool kits and frameworks
  • Focus on specific commonalities of treasury risk management:
    - cash flows driven by interest rate and foreign exchange risks
    - cash management and investment fair value risks
    - risks in treasury hedge strategies
    - counterparty risks in treasury activities
  • Linkages with liquidity and operational risks for treasury
  • Liquidity versus funding and capital risks
  • Model risks
  • Prudential use and limitations of modelling analytics
  • Treasury risk management and Enterprise Risk Management (ERM) frameworks
  • Total risk preservation versus re assignment through active management
  • Assessing risk horizons for treasury activities
  • Interaction of risks in extreme scenarios
  • Objectives and Key Performance Indicators (KPIs) of treasury risk management
  • What can go wrong in treasury risk management
  • Treasury organisation, strategy and responsibilities
  • Treasury profit and/or cost centres
  • Reporting and management control
  • The changing nature of treasury operations
  • Future roles for treasury risk management
Treasury Cash Flow Risks from Interest Rate and FX Movements
  • Frameworks for analysing types of cash flow risks in different institutions
  • Cash flow risks from existing and expected assets, liabilities, and off balance sheet positions
  • Analyses of rate sensitive asset and liability positions
  • Net Interest Income, Gap and Earnings at Risk techniques
  • Identifying specific curve point and basis risks
  • Volatility and correlation analytics
  • Defining distributional and tail assumptions
  • Adjusting standard distributions to match real world skews and kurtosis
  • Normal mixture models fitting real world interest rate and FX movements
  • Assessing cash flow tail risks through Monte Carlo simulations
  • Establishing limits for cash flow risks
  • Action triggers and stop loss limits for cash flow risks
  • Stress testing cash flow risks
  • Relationships between risks and returns
  • Developing revenue and risk budgets
  • Hedge techniques using rate futures, forwards, swaps, and options
  • Combination and structured hedges
  • Assessing cash flow hedge effectiveness
  • Designing optimal hedge strategies
  • Cash flow hedge accounting
  • KPIs for managing cash flow risks
Workshop: Interactive Case Study

  • Basic and advanced factor models for Monte Carlo simulation of FX exposure
  • Using GARCH analytics in Excel to model volatility and correlations
Day Two

Treasury Cash Flow Risks from Interest Rate and FX Movements (cont’d)
Treasury Investment Fair Value Risks
  • Analysing types of investment value risks for different institutions
  • Factoring investment positions to assess drivers of risk
  • Fair value risk in liquidity, cash management, and strategic investment portfolios
  • Fair value risks from existing and expected assets, liabilities, and off balance sheet positions
  • Value drivers from benchmark yield curves and components
  • Ex ante credit spread risk decomposition
  • Liquidity and basis risks to investment values
  • Common frameworks and toolkits for value risks
  • Analyses of rate sensitive asset and liability positions driving fair value
  • Identifying specific curve point and basis risks to fair value
  • Volatility and correlation analytics driving fair value
  • Principal components decomposition of curve risks
  • Calculating curve eigenvalues and eigenvectors in Excel
  • Mutli factor interest rate simulations that drive value risks for fixed income and other markets
  • Establishing limits packages for fair value risks
  • Action triggers and stop loss limits for value risks
  • Stress testing value risk positions
  • Relationships between risks and returns
  • Developing revenue and risk budgets
  • Value hedge techniques using bond futures, forwards, swaps, and options
  • Value hedge techniques using credit, FX, commodity, and equity derivatives
  • Creating and managing multi factor correlated value risk scenarios
  • Combinations, non standard and structured hedges
  • Assessing fair value hedge effectiveness
  • Designing optimal value risk hedge strategies
  • Fair value hedge accounting
  • Ex post decomposition and attribution of changes in portfolio value
  • KPIs for managing value risks
Workshop: Interactive Case Study
  • Principal components decomposition of yield curve risks
  • Calculating curve eigenvalues and eigenvectors in Excel
  • Assessing value tail risks through Monte Carlo simulations
  • Multi factor interest rate simulations that drive value risks
Day 3

Hedge Counterparty and Obligor Credit Risks
  • Critical differences amongst counterparty credit events, bankruptcy, and default
  • Asymmetric risks of counterparty bankruptcy to treasury activities
  • Decomposing counterparty risks in deposits, investments, spot trades and hedges
  • Pre settlement and settlement risks in counterparty positions
  • Measuring counterparty credit risks, Credit Valuation Adjustments (CVAs), Identification of wrong way risks
  • Probabilities of default, exposures at default (EAD), and losses given default (LGD)
  • Building EAD model for various treasury transactions in Excel: spot trades and hedges
  • Unconditional experience metrics from transition matrices and cumulative default probabilities
  • Measuring means and standard deviations of unconditional data
  • Correlations of defaults and losses given default
  • Using Monte Carlo simulations to build counterparty credit loss distributions
  • Using risk neutral conditional metrics as alternative to historical experience
  • Using structural (Merton) contingent claims model as alternative estimation of metrics
  • Using logit and probit analyses as alternative estimation of credit decision metrics
  • Model risks and limitations of modelling analytics
  • Establishing limits for counterparty credit risks
  • Hedging against counterparty credit risks using various credit derivatives and credit linked notes
  • Economic versus effective counterparty credit hedges
  • Optimisation of counterparty risk hedging
  • Operating real time dynamic counterparty risk management systems
Workshop: Interactive Case Study

  • Managing a counterparty risk system
  • Credit Values at Risk, Credit Risky Duration, and Credit Spread 01s
  • Using logit and probit analyses as alternative estimation of credit decision metrics
  • Collateral management in counterparty risk systems
  • Documentation and offsetting upon default
Workshop Summary
  • Strategic imperative for treasury risk management
  • Linkage of treasury risk management to financial performance
  • Treasury risk management and on going evolutions for capital or ratings standards
  • Benchmarking treasury performance
  • Efficient employment and allocation of institutional capital
  • Treasury personnel evaluation and compensation relative to risk – return management

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Treasury Risk Solutions

£ 3001-4000

The best Financial Analysis courses

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