Corporate Treasury Management

Day One

09.00 - 09.15  Welcome and Introduction

09.15 - 12.00  The Corporate Treasury Function

• Treasury Objectives and Responsibilities
• An ALM Framework for Financial Risk Management
  • Difference between Banks and Corporations
  • Looking for Financial Risks on the Balance Sheet
• How Risk management Can Create Shareholder value
• Overview of Financial Management Techniques

Funding and Liquidity Management

• Funding sources in financial markets
  • Bank and capital market funding
  • Repos and “sell-and-buy-backs”
  • Asset securitisation
• Managing Liquidity Risk

12.00 - 13.00  Lunch

13.00 - 16.30  Foreign Exchange Management

• FX Exposure and FX Volatility
• Types of FX Exposure
  • Economic exposure
  • Translation exposure
  • Transaction exposure
  • Exposure on budgeted transactions
• Internal FX Management Techniques
  • Limits
  • Netting
• Managing FX Risk with Derivatives
  • Hedging with FX forwards and swaps
  • Hedging with vanilla and exotic options
  • Hedging contingent exposures
• Cases and exercises

Day Two

09.00 - 09.15  Recap

09.15 - 12.00  Interest Rate Management

• Ways of Looking at Interest Rate Risk
  • Re-pricing risk
  • PV risk
• Measuring Interest Rate Risk
  • GAP analysis
  • Simulation approaches
  • Duration analysis
  • Yield curve analysis
• Managing Interest Rate Risk with Derivatives
  • Hedging re-pricing risk with FRAs and interest rate futures
  • Hedging loans with interest rate swaps
  • Hedging floating rate notes with caps, floors and collars
  • Hedging PV risk with futures and options
• Exercises

12.00 - 13.00  Lunch

13.00 - 16.30  Value-at-Risk in Corporate Treasury

• VaR and its Role in Risk Management
• The Relevance of Using VaR in Corporations
• Calculating VaR
  • Mapping financial transaction
  • Mapping commercial transactions
  • Calculating undiversified VaR
  • Correlations and diversified VaR
• Calculating “Cash-Flow-at-Risk”
  • Establishing and exposure platform
  • Estimating cash flows and cash flow volatility
  • Calculating “Earnings-at-Risk”
• Stress Testing
• Exercises

Day Three

09.00 - 09.15  Recap

09.15 - 12.00  Corporate Risk Management with CorporateMetrics™

• What is CorporateMetrics?
  • The general framework
  • Types of risk covered
  • CorporateMetrics vs. other risk management systems
• How Does CorporateMetrics Work?
  • Metric specification
  • Exposure mapping
  • Scenario generation
  • Valuation
  • Risk computation
• Implementing CorporateMetrics
  • An example
• Managerial applications
  • Which hedging strategy to use
  • Market risk limits
  • Regulatory reporting

12.00 - 13.00  Lunch

13.00 - 16.30  Organisation, Procedures and Controls

• Establishing the Framework for Treasury Management
  • Defining risk attitude and risk tolerance
  • Formulating a treasury policy
  • Organisation, responsibilities
  • Reporting
• Accounting issues related to use of financial instruments
  • FAS133 and IAS139
• Information systems
• Benchmarking and performance measurement

Test, Evaluation and Termination of the Seminar