The workshop is designed to use Excel exercises, as well as Bloomberg and Reuters screenshots, to teach a mastery of the different products and the risks associated with them.  In addition, the workshop uses a computer models for trading and risk management simulations for cash and derivatives products. Delegates will be provided with a complete file folder on a CD of treasury product models that run on Excel.

This 4-day comprehensive, “hands-on” workshop covers a complete range of treasury products related to market activities, their use in managing risks, an institution’s own risks from using these products, and strategies for managing the risks.

 

The programme will focus on:

• Instruction on a wide range of treasury products and markets
• Market risk simulations
•  Cash money market bills, commercial paper, and interbank positioning
•  Government and spread (corporate) bonds
•  Marking to fair value using market quotes and models
•  FX delta one and options products
•  Options pricing and risk management
•  Exotic and structured options
•  Interest rate forwards, futures, swaps and options
•  Credit default swaps for treasury products
•  Counterparty and credit risks
•  Investment in standard and structured products
•  Performance measurement and attribution for treasury’s use of market products
  

 

Day 1

Overview of Treasury Markets, Products and Risks
 

• The role of treasury in modern organizations
•   Treasury focus on liquidity and risk management
•   Framework for understanding financial markets products and risks
•   Recent developments in markets and impact on treasury
•   Challenges in the management of liquidity and risk
•   Reporting and management control
•   Regulations impacting treasury products
•   Expectations for the future for treasury products and risk management

Cash Money Market Products
  

• Characteristics of short-term government bills and commercial paper
•   Ratings for money market products
•   Conventions for interbank and central bank deposits
•   Other money market products, including bankers’ acceptances and repurchase agreements
•   Modelling cash flows in money-market products
•   Liquidity and risk characteristics
•   Money market rates, discounts, and yields
•   Bid and offer for money market products
•   Recent trends and drivers of rates
•   The role of central banks in short term markets
•   Accounting and fair value of money market products
•   Trading and positioning money market products
•   Gapping strategies and risk management for money market positions
•   Counterparty, credit, and liquidity concerns arising from money market positions

Excel exercises

Bond Products and Risk Management
 

• Definitions and characteristics of bonds
•   Modelling bond cash flows
•   Risk and returns in bond positions
•   Total return budgeting and management
•   Coupon frequency conventions
•   Calculating yields, prices, and accrued interest
•   Yield compounding conventions and conversions
•   Analysis and modelling risks from changes in the yield curve
•   Current central bank actions impacting the yield curve
•   Impact on government bonds from deficits, and debt levels
•   Sovereign risk and liquidity for government bonds
•   Price risks from bond duration, PV01 and convexity
•   Constructing instantaneous long-short bond hedges
•   Dynamic risk management of bond positions
•   Value at Risk for bond positions
•   Use of repurchase agreements in bond positions
•   Correlated risks in bond portfolios

 

 

• Pricing bonds with bootstrapped zero discount factors

•   Interpolation of yields and discount factors
•   Credit risks in government and non-government bonds
•   Understanding bond ratings
•   New issuance, underwriting, and distribution of new bonds
•   Secondary market practices and risks for bonds
•   Embedded options in bonds

Excel exercises

 

Day 2

Bond Products and Risk Management (continued from Day 1)
Delta One Foreign Exchange Products and RiskManagement
 

• Overview of foreign exchange markets and risks
•   Evolution of floating, fixed and other variations of exchange rates
•   Recent trends and likely future trends in foreign exchange
•   High frequency trading in foreign exchange
•   Relation of foreign exchange to other markets
•   Understanding quotations in the foreign exchange market
•   Liquidity and risk considerations in pricing and fair values marks
•   Foreign exchange positioning
•   Accounting and fair value of foreign exchange positions
•   Spot FX trading skills
•   Efficient use of bid and offer trade quotes
•   Positions created by customer and proprietary trades
•   Calculation of no-arbitrage and real market FX forward rates
•   Frictions in markets that drive FX forward rates away from no- arbitrage
•   Risk management & control of FX positions
•   Static and dynamic hedging FX delta one books
•   Relationship between risk and return for FX book
•   Analytical and parametric risk models
•   Counterparty and liquidity concerns arising from FX positions

Excel exercises

 Foreign Exchange Options and Risk Management
 

• Review of foreign exchange options products and markets
•   Various uses for FX options
•   Options combinations strategies
•   Hedging versus trading activities
•   Analytical and numerical options pricing techniques
•   Option pricing through Monte Carlo simulations
•   Mark-to-market and mark-to-model techniques

 

• Market risk management
•   Optimal hedging of the “Greeks”
•   Relationship of hedge imperfections to options pricing
•   Second order risk sensitivities: Volga and Vanna
•   Market liquidity constraints and risks
•   Applications for exotic and structured FX options
•   Pricing and risk managing exotic options
•   Special concerns for knock-outs (ins), other barriers, and digital options
•   Risks in trading FX derivatives
•   Accounting, liquidity, and counterparty risks arising from FX derivatives

Excel exercises

 

Day 3

Foreign Exchange Options and Risk Management
(continued from Day 2)

Interest Rate Derivatives Products and Risk Management
 

• Review of interest rate derivatives products and market risks
•   Applications for interest rate derivatives products
•   Hedging versus trading activities for derivatives
•   Pricing interest rate forwards and futures
•   Comparison of characteristics of forwards and futures
•   Interbank and bond futures contracts specifications
•   Dynamic risk management by tailing hedges in futures positions
•   Understanding interest rate swaps risks as portfolios of forwards
•   Swaps risks as long-short pairs trade positions
•   Short-rate options pricing and risk management
•   Bond and swap options pricing and risk management
•   Mark-to-market and mark-to-model techniques
•   Dynamic market risk management of interest rate derivatives
•   Hedging strategies and effectiveness accounting requirements
•   Trading interest rate derivatives
•   Position limits and risk budgets
•   Accounting, liquidity, and counterparty concerns arising from interest rate derivatives

 

Day 4

Interest Rate Derivatives Products and Risk Management (continued from Day 2)

Credit Risks and Credit Derivatives

•   Applications for credit derivatives products in treasury
•   The nature of credit risk for treasury products
•   Credit and Debit Valuation Adjustments (CVA and DVA)
•   Types of credit derivatives
•   Conventions and structures for single name and index credit default swaps (CDS)
•   Relationship of CDS to bonds, interest rate swaps, and money

market instruments

• Pricing CDS using conventional models
•   Probabilities of default risk
•   Risk of loss given default and recovery
•   Exposure at default
•   Correlation risks for portfolio credit derivatives
•   Hedging credit risks and trading credit positions using credit derivatives

Excel exercises

Structured Treasury Investments and Risk Management
 

• Investment risks and rewards
•   Measuring risk-adjusted performance
•   Structured investment instruments for treasury portfolios
•   Classification of commonly used structured investment products
•   Market-linked notes and deposits
•   Capital-guaranteed products
•   Participation notes
•   Accrual notes
•   High coupon reverse convertible/redemption structures
•   Exotic and advanced products with higher expected returns and risks
•   Managing risks from creating these products
•   Establishing policies for cash management investing
•   Investment return benchmarks
•  Performance measurement and attribution risks

Excel exercises

Course Summary
 

• Evolving role of treasury products and risk management
•   Process for developing and adopting new products
•   Changing regulations and requirements
•   Best practices and ethical use of treasury products
•   Measuring and rewarding treasury performance and risk management

 

• William Allen

  William Allen was previously a senior associate consultant with Seabrook Associates in Boston, Massachusetts. Prior to that he worked with J.P. Morgan in various securities and derivatives trading, arbitrage, hedging, and marketing activities in London and New York.
  
  He pursued MBA and doctoral studies in international banking and capital markets at the Harvard Business School. 
  
  William received the Elijah Watts Sells Award and the John S. Glenn Gold Medal for outstanding performance on the Certified Public Accountants (CPA) examination while he was with Ernst and Whinney, an international accounting firm.
  
  At the same time, he was awarded the Robert Beyer Bronze Medal for outstanding performance on the Certified Management Accounting (CMA) examination. Mr. Allen also earned the professional designation of Chartered Financial Analyst (CFA) while serving as the chief financial and investments officer of Rhodes College.

  Courses run by this instructor

  • Strategic ALM & Capital Adequacy

Treasury Risk Management

Interested in holding this course in-house? Please fill out your details and a member of our team will be in touch with more information.

Treasury Products Workshop

21-24 Feb 2012 (London, UK)
17-20 Sep 2012 (London, UK)

The course will provide delegates with understanding of the products used by banks and corporate treasuries.

London School of Treasury Management

25 Jun 2012 - 6 Jul 2012 (London, UK)
3-14 Dec 2012 (London, UK)

Join us here in London for this specialised course assessing treasury risk management instruments and their applications.

Strategic ALM & Capital Adequacy

18-21 Sep 2012 (London, UK)

Euromoney Training course is an intermediate-level programme designed to provide you with the understanding the strategic, technical and operational aspects of global ALM

 

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