Treasury Risk Management

Treasury Risk Management

Euromoney Training
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Description

This3 Day Course is Suitable for those Working in Either Banking or Non-Financial Roles and Looking to Gain Greater Wwareness of: Sources of risk in treasury Short-term cash management and the money markets Longer term funding instruments and the capital markets Market risk measurement technique: sensitivities, Value-at-Risk and stress testing FX markets. Spot, forward and option products Interest rate swaps and other rate hedging derivatives Liquidity risk and mitigation techniques for managing liquidity Basel III – impact on banks and wider financial markets of the proposed new regulatory measures The instructor will use a variety of media and blend presentation with a high degree of pract…

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Didn't find what you were looking for? See also: Treasury, Risk Management, Pricing, Education, and Public Finance.

This3 Day Course is Suitable for those Working in Either Banking or Non-Financial Roles and Looking to Gain Greater Wwareness of: Sources of risk in treasury Short-term cash management and the money markets Longer term funding instruments and the capital markets Market risk measurement technique: sensitivities, Value-at-Risk and stress testing FX markets. Spot, forward and option products Interest rate swaps and other rate hedging derivatives Liquidity risk and mitigation techniques for managing liquidity Basel III – impact on banks and wider financial markets of the proposed new regulatory measures The instructor will use a variety of media and blend presentation with a high degree of practical content. No advanced mathematical formulae or modeling will be employed, but a sound degree of numeracy is assumed, along with some basic awareness of instruments seen in the financial markets such as FX and bonds. Days 1 and 2 will focus on market risk – as it applies to both non-financial corporates and banks. Day 3 will have more of a banking focus (ALM) but we will see how the regulatory and other pressures impacting bank treasuries have a direct knock-on impact on the rest of the market. This Course has been Specifically Designed for the Benefit of: Treasury managers Traders and dealers Corporate treasury managers Risk managers and risk controllers ALM managers Auditors Product development managers Corporate account officers Financial product sales personnel
Day 1 Introduction Exploring the role of the treasury department. Financial and non-financial firms and treasury organization Managing cash-flow risk and balance sheet risk Sources of risk: business risk, market risk, credit risk, operational risk and liquidity risk Cash and Money Markets What is cash? And what do we do with it? Case Study: Analyzing corporates with banking licenses Money markets: deposit alternatives for investing cash Commercial papers: funding alternatives away from overdrafts and bank loans Market Risk Types of market risk: FX, rate, and commodity. Identify-measure-manage approach Quantifying the extent of risk. Sensitivities and scenarios Managing the risk. Do nothing, fully hedge, partial hedge, setting limits Case Study: Airline exposures and hedging strategies Value-at-Risk and stress tests as concepts in risk management Day 2 Hedging Products and Derivatives – FX and Commodity Risks Key features of a forward, future and option Hedging FX risk – spot, forward, and option. Understand when to use each product Hedging commodity risk – spot, forward, and option. Understand when to use each product Exercise: Choosing the best hedging tool for different corporate scenarios Hedging and counterparty risk Hedge Effectiveness Accounting implication (IFRS 9) Hidden costs from hedging activities – including basis risk and collateral costs Case Study: Failure of AIG Interest Rate Products and Rate Risk The bond market. Sovereign and credit-risky sectors Issuance of bonds – an alternative to bank loans and other funding Fixed and floating rate bonds – cashflow/revenue risk versus balance sheet risk Yield curves and credit spreads Case Study: Bond issuance in US market Interest rate sensitivity – DV01, duration. Discounting cash flows, pricing and risk Hedging bond issues and other rate risks – forward rate agreements and interest rate swaps Using interest rate options Case Study: Interest rate derivative mis-selling in the UK 2012 Day 3 Liquidity and Bank Treasury Management The field of Asset and Liability Management (ALM) Key sources of ALM risk: rate risk and liquidity risk. Solvency and liquidity compared Case Study: Northern Rock Traded and non-traded risks compared and contrasted Why banks are different from other firms: leverage and deposits Contractual and behavioral nature of deposits Funds transfer pricing within a bank The credit crisis and liquidity Financing and Liquidity Strategies The asset side: holding liquid bonds and other strategies Wholesale and retail funding. Short and long term funding markets Funding diversity and maintaining market access. Trading off costs versus liquidity benefits Basel III rules and liquidity Capital and Basel Rules Capital management as an ALM discipline Leverage ratios. The concept of risk weighted assets and capital adequacy ratios What is changing under Basel III Impact of Basel III on the wider market – availability of loan and bond financing for bank customers Case Study: Some bank balance sheets pre- and post-crisis Regulators and derivatives – Dodd-Frank and other initiatives. Wider market impact Course Summary and Close
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