Treasury Management

2 days
Prague, NH Hotel Prague
  • The Role of the Treasury Function
  • Funding and Liquidity Management
  • Foreign Exchange and Interest Rate Management
  • Value-at-Risk, Earnings-at-Risk and Cash-Flow-at-Risk
  • Risk Measurement with CorporateMetrics™
  • Organization, Procedures, Reporting and Controls
The purpose of this seminar is to give you a comprehensive understanding of the objectives, tools and techniques of modern treasury management.

We start with a general discussion of the role of the treasury function in banks and corporations. The importance of funding choices and sound risk management will be explained, and we define the scope, level and content of the tasks of a "typical" treasury function.

We then look in more detail into the techniques and tools available to the treasurer.

We explain how funding issues are resolved and how liquidity and liquidity risk is managed using money and capital market instruments.

Further, we explain how foreign exchange exposure is measured and managed. We discuss the differences between economic and accounting exposure, and we demonstrate various techniques for quantifying and mitigating these types of exposure.

We then discuss how interest rate risk manifests itself in financial institutions and corporations, and we explain how this risk can be effectively measured and managed using "internal" techniques and derivative instruments.

Further, we explain how "Value-at-Risk", "Earnings-at-Risk" and "Cash-Flow-at-Risk" are measured and used. We shall establish a "Risk Exposure Platform" to analyze the economic and financial effects of changes in commodity prices, exchange rates and interest rates on the company's cash flows. We use "CorporateMetrics™" as a practical example to illustrate how such methodologies can be applied in a corporate framework.

Finally, we discuss how Treasury Management can be organized, suggesting appropriate risk management policies and procedures for top management reporting. Here, we also look at the possible impacts of new accounting rules such as IAS39/FASB133.
  • 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
      • FAS133 and IAS139
    • Treasury IT Systems
    • Benchmarking and Performance Measurement

    Small Test

    Evaluation and Termination of the Seminar

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