Treasury Management
Day One
09.00 - 09.15 Welcome and Introduction
09.15 - 12.00 The Treasury Function
- Treasury Objectives and Responsibilities
- Scope, Level and Content of Treasury Management
- An ALM Framework for Treasury Management
- Difference between banks and corporations
- How Treasury Management Can Create Shareholder Value
Funding and Liquidity Management
- Funding Sources in Financial Markets
- Using Asset Securitisation as a Funding Tool
- How RAROC can be improved through securitization
- Managing Liquidity Risk
Foreign Exchange Management
- Measuring FX Exposure
- Economic, translation and transaction exposure
- Internal FX Management Techniques
- Managing FX Risk with Derivatives
- Cases and Exercises
12.00 - 13.00 Lunch
13.00 - 16.30 Interest Rate Management
- Ways of Looking at Interest Rate 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
Day Two
09.00 - 09.15 Brief recap
09.15 - 12.00 Advanced Treasury Risk Management
- VaR and its Role in Treasury Risk Management
- Calculating VaR
- Mapping of cash flows
- Calculating undiversified VaR
- Calculating diversified VaR
- Calculating “Cash-Flow-at-Risk”
- Calculating “Earnings-at-Risk”
- Exercises
Risk Management Case Study: CorporateMetrics™
- What is CorporateMetrics?
- How Does CorporateMetrics Work?
- Implementing CorporateMetrics
- Managerial Applications
- Which hedging strategy to use
- Market risk limits
- Regulatory Reporting
- Exercises
12.00 - 13.00 Lunch
13.00 - 16.30 Organisation, Procedures, Reporting and Controls
- Establishing the Framework for Treasury Management
- Defining risk attitude and risk tolerance
- Formulating a treasury policy
- Organisation and Responsibilities
- Reporting
- Accounting Issues Related to Use of Financial Instruments
- Treasury IT Systems
- Benchmarking and Performance Measurement
Small Test
Evaluation and Termination of the Seminar
