Euromoney Audit Training

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 program 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

· Modeling 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

Bond Products and Risk Management

· Definitions and characteristics of bonds

· Modeling 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 modeling 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

Day 2

Bond Products and Risk Management (continued from Day 1)

Delta One Foreign Exchange Products and Risk Management

· 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

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 Asset - Liability Management - New York City
  • Treasury Management - New York City

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.

Strategic Asset - Liability Management - New York City

1-4 Oct 2012 (New York, United States)

For every financial institution in the world today, the need for sophisticated Asset Liability Management (ALM) has become imperative. Volatile global markets, proliferation of new and more complex financial products, changing regulatory environments and increased emphasis on performance have made asset liability management an increasingly challenging task.

Wealth Management & Private Banking Workshop - Miami

9-12 Jul 2012 (Miami, United States)

Private Equity Investments - New York City

5-7 Nov 2012 (New York, United States)

This three-day course has been designed to provide participants with an overview of the private equity industry and the investment process throughout the different stages of a company’s growth. It explains the investment process, objectives, financial instruments and negotiation options from the point of view of both the investor as well as the business owner.

Real Estate Modeling - New York City

10-12 Sep 2012 (New York, United States)

Real Estate Modeling is an intensive hands-on course that provides attendees with knowledge regarding both fundamental and challenging modeling issues in the real estate industry. Delegates will learn how to model mixed development projects, residential projects with multiple portfolios, cash flow waterfalls, and simulation of risk associated with different lease rolls. Sessions of the course will include effective presentation of model outputs and comprehensive scenario analysis. In addition, the program will enable delegates to develop their skills in a variety of modeling issues associated with setting-up inputs, working with flexible time periods and incorporating alternative financing structures.

Loan Syndication – Structuring, Selling Down & Documentation - Miami

22-24 Aug 2012 (Miami, United States)

With the financial world currently undergoing significant changes, one of the most important challenges in banking is to reinforce the syndicated loan function and to refresh techniques given the evolution of the syndicated loan market. This course enables you to ensure that your staff – whether bankers, lawyers or investment professionals – have the tools to cope with the new environment.

Trade Finance Structures for Commodity Supply Chains - Miami

24-27 Jul 2012 (Miami, United States)

Financing Energy Projects: Oil, Gas and Power - New York City

13-17 Aug 2012 (New York, United States)
13-16 Aug 2012 (New York, United States)
17 Aug 2012 (New York, United States)

Formal lecture sessions, innovative deals and numerous examples of projects in the oil and gas, power and water desalination sectors are drawn from around the world and discussed throughout the course. You will develop a framework for recognising, and analysing qualitative and quantitative project risks. Formal lecture sessions, innovative deals and numerous examples of projects in the oil and gas, power and water desalination sectors are drawn from around the world and discussed throughout the course. You will develop a framework for recognizing, and analyzing qualitative and quantitative project risks.

Liquidity Risk Measurement and Management - New York City

26-28 Nov 2012 (New York, United States)

This course is designed to increase participants’ understanding of the increasingly complex and sophisticated process of liquidity risk measurement and management exploring both its issues and challenges. The 2007- 2009 crisis has only accelerated the spread of “new” best practices. National and international regulators, including FSA and CEBS are adding more complexity. All delegates will receive comprehensive course documentation for use before and during the program. This will enable you to return to your organization with an extensive and valuable source of information for future reference.”

Treasury Management - New York City

24-27 Sep 2012 (New York, United States)

This course will provide you with a comprehensive understanding of the latest strategies, techniques and tools for an efficient treasury function. It will examine in detail the complexities of all treasury management issues whilst expanding your knowledge of the essential concepts and the inherent risks. You will analyze the intricacies of modern financial markets, enabling you to maintain control over increasingly complex interest rate and currency exposures. Exercises and case studies will be used throughout the program to reinforce principles.

Wealth Management & Private Banking Workshop - New York City

24-27 Sep 2012 (New York, United States)

The objective of this Workshop is to provide the assisting delegates with the necessary tools, techniques and criteria in order to further develop the skills competencies, and knowledge that are essential in managing client relationships, investment risk, and communicating portfolio management solutions