This financial training course is built upon analysis of a series of practical short case studies covering typical treasury situations.
These treasury case studies fall within broad categories that may be summarized as follows:
- Dynamically forecasting rates-driven risky cash flows
- Valuing instruments with complex cash flows and payoffs
- Optimising hedges of cash flow and price risks
- Quantifying factor and principal component risks to term structures
- Forecasting statistical estimates of rate volatilities and correlations
- Modern management of short-term investment and trading portfolios
- Fitting behavioural reactive functions for changes in treasury products and markets
- Building and using credit risk models for Treasury activities
This 4-day course develops various Excel-based quantitative tools and techniques used to analyse a broad range of real-world treasury situations.
Instruction throughout the course is organised around a series of short cases that illustrate many commonly-encountered challenges in treasury activities. For these treasury case situations, delegates will learn how to use a variety of quantitative tools and techniques that will provide opportunities for more complete and robust analyses and decision-making.
The course is designed to be intensively “hands-on” with delegates building their own analytical models in Excel from templates and examples.
Who should attend?
- Treasury sales and trading
- Corporate treasury professionals
- ALM professionals
- Cash managers
- Liquidity management
- Risk management
- Operations personnel
- FX and derivatives professionals
- Analysts and research professionals
Teaching Quantitative Tools and Techniques
The course is carefully designed to teach the practical use of a broad array of quantitative tools and techniques used widely throughout treasury best practices. Thus, all math and statistical concepts needed for the case analyses will be taught in class using extensive Excel models, Excel add-ins, Excel Visual Basic, and free-ware from the internet. The course is designed to maximise learning the practical applications of tools and techniques without encumbering delegates with academic or heavy doses of theory that are not immediately relevant. Delegates will be provided with a comprehensive library of Excel models using quantitative tools and techniques.
Course pre-requisites are:
- basic knowledge of treasury products, and
- basic Excel skills.
Although not required, delegates wishing more detailed information on quantitative tools and techniques may wish to request in advance a list of suggested readings. A complete bibliography of readings and resources will be provided during the course.
Technical Learning Objectives:
Delegates will learn how to apply many quantitative tools and techniques to treasury case situations, including the following:
- Monte Carlo simulations
- Stochastic modeling
- Advanced simulation movements
- Continuous time techniques
- Linear, spline, and polynomial Interpolations techniques
- Bootstrapping zero rates
- Probability distributions properties and uses
- Kernels, histograms, and data analyses
- Visual Basic Applications (VBA) for Excel
- Quantile data analyses
- Mean-variance-covariance
- Higher-order moments matching in simulating distributions
- Jump processes, alternative distributions, and mixtures
- Linear programming and non-linear fitting
- Maximum Likelihood Estimation (MLE)
- Large data set matrix analytics tools
- Eigenvector and Eigenvalue metrics
- EWMA, ARMA, and GARCH techniques
Day 1
Dynamically forecasting rates-driven risky cash flows
• Local currency value of FX cash flows
• Models for Net interest income gaps
• Cash-Flow- and Earnings-at-Risk
Valuing instruments with complex cash flows and payoffs
• Valuing standard and complex derivatives
• Working with implied, local, and stochastic vol surfaces
• Valuing Amortising and Pre-Payable Bonds
Day 2
Optimising hedges of cash flow and price risks
• Optimal combinations of hedges for rate-volatile correlated cash flow risks with constraints
• Optimal combinations of hedges for rate-volatile correlated price risks with constraints
Quantifying factor and principal component risks to term structures
• Analyses of principal components in yield curves
• Analyses of principal components in futures commodities markets
• Applying principal components to risk management
Day 3
Forecasting statistical estimates of rate volatilities and correlations
• Developing Exponentially Weighted Moving Average (EWMA) models
• Developing Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models
• Pricing and hedging derivatives with statistical parameter estimations
Modern management of short-term investment and trading portfolios
• Managing classic Mean-variance efficient portfolios
• Alpha and Beta metrics for securities and portfolios
• Optimising portfolio construction under management constraints
• Calculating and back-testing portfolio Values-at-Risk metrics
Day 4
Fitting behavioural reactive functions for changes in treasury products and markets
• Estimating non-linear deposit runoff to changes in pricing
• Estimating non-linear changes in operating cash flows from various management decisions
• Building operational risk models for Advanced Management Approaches (AMA)
Building and using credit risk models for Treasury activities
• Scoring credit acceptability for investments, deposits, and receivables
• Building short-form probability of default models simulation models for portfolios
• Building structural credit models for portfolios
• Measuring counterparty risks and Credit (Debit) Value Adjustments (CVA, DVA)
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Mr Allen is an expert consultant in ALM, treasury, capital markets and corporate finance. He has consulted for most large financial institutions and many large corporates and investors in major markets around the world.
He has published articles and books on various finance, capital markets, derivatives, and risk management topics. His emphasis is on the practical implementation of financial tools and techniques within various banks, institutional investors, government and supranationals, and corporates.
Previous to his in consulting career, Mr Allen worked with J.P. Morgan in various treasury, ALM, capital markets, and derivatives activities in London and New York. He previously worked as the Chief Investment Officer/Chief Finance Officer of a university. Mr Allen continues to act as an advisor to several hedge fund managers for market-neutral and other structured derivatives strategies.
Mr. Allen took his MBA and Doctoral (DBA) studies in international banking and capital markets at the Harvard Business School. He received the Elijah Watts Sells Award and the John S. Glenn Gold Medal for outstanding performance on the CPA examination while he was working with Ernst and Whinney (now Ernst and Young), where he worked both in the international audit and tax divisions. Mr Allen was awarded the Robert Beyer Bronze Medal for outstanding performance on the Certified Management Accounting (CMA) examination. Mr Allen earned the professional designation of Charter Financial Analyst (CFA) while serving as a buy-side portfolio manager and then the chief investment officer for the endowment fund of Rhodes College. He is a certified in the Global Association of Risk Professionals (GARP) and the Professional Risk Management International Association (PRMIA). Most recently, he has participated in the CFA’s newly-designated Certificate in Investment Performance Management (CIPM).
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.