Treasury Risk Management

Course details

This intensive treasury risk management training course is designed to offer treasury executives, whether in corporations or financial institutions, a thorough coverage of the techniques available for modern treasury management and evaluating treasury risk. The complexity of cash management in modern financial markets has placed much more emphasis on the treasury function. This not only involves keeping control over increasingly complex interest rate and currency exposures, but also keeping abreast of the latest techniques for managing those risks whilst effectively managing the funds of the institution.

Who Should Attend?

• Corporate Treasury Executives
• Corporate Finance Executives
• Relationship Officers
• Money Market Managers
• Foreign Exchange Executives
• Accountants and Auditors
• all those involved with Treasury Risk Management

COURSE OUTLINE

Day 1

FRAMEWORKS FOR IDENTIFYING AND ANALYSING RISKS

• Outline of a treasury function
• The treasurer’s role
• Risk versus return
• Finance versus business risk
• Types of risk
• Identification, analysis and control of risks
• Hedging approaches and costs
• Corporate case study
• The importance of policies, internal
• control and audit

PERFORMANCE MEASUREMENT AND CAPITAL ALLOCATION

• Why measure performance?
• The problems involved
• Meaningful benchmarks
• Examples of methodologies
• The capital adequacy directive
• Efficient use of capital
• Value-at-Risk approaches
• Risk adjusted returns on capital

DEBT MANAGEMENT AND THE DEBT / EQUITY RATIO

• Managing cash and working capital
• Forecasting cashflows
• Financing with debt versus equity
• Maturity profiles
• Fixed versus floating
• The question of mismatches

Day 2

MEASURING INTEREST RATE RISK

• Gap analysis
• Types and uses of gap analysis
• Macaulay duration
• Examples of Macaulay calculations
• Modified duration
• Convexity adjustments
• Rate shocks
• Simulation approaches

GAP CASE STUDY

Delegates, in small groups, will prepare and comment upon a gap report for a multi-national corporation.

FOREIGN EXCHANGE RISK MANAGEMENT

• Types of transactions
• Spot, forward and FX swap transactions
• Translation exposure
• Economic exposure
• Currency options
• Put / call parity explained
• Hedging decisions

Day 3

THE TOOLS OF RISK MANAGEMENT

• Forward - forward transactions
• Forward Rate Agreements (FRAs)
• Financial futures
• Interest rate and currency swaps
• Interest rate options
• Swaptions
• Relationships between products

RISK MANAGEMENT EXERCISES

Delegates, in small groups, will work through some examples to ensure a thorough understanding of the mechanics.

FUTURES IN TREASURY MANAGEMENT

• FRAs versus futures
• Measuring exposure in futures equivalents
• Designing a futures hedge handling basis risk
• Spot, interpolated and extrapolated hedges
• Option versus futures hedges

Day 4

USING SWAPS AND ASSOCIATED PRODUCTS

• Analysing cash flows
• Constructing the discount function
• Hedging with swaps
• Swaps and the capital markets
• Basis swaps
• Asset swaps

SWAP CASE STUDIES

Delegates, in small groups, will be required to analyse hedging, funding and investing decisions using derivatives

STRUCTURED FINANCE - CASE STUDY

Delegates, in small groups, will work through a complex structure of issuing a fixed income bond to produce cheap domestic funding.

ASSET SWAPS - CASE STUDIES

Delegates will construct a long dated discount function using log linear interpolation and structure an asset swap using a fixed income bond and a forward start swap followed by the structuring of low income, tax effective structures.

Day 5

INTRODUCTION TO ASSET AND LIABILITY MANAGEMENT

• Why manage the balance sheet?
• The problems
• Net interest income versus market value

ASSET & LIABILITY MANAGEMENT CASE STUDY

Delegates, in small groups, will assume the role of an ALCO and using some typical reports will decide upon the validity of a particular strategy.

CASE STUDY: RESULTS AND ADDITIONAL ANALYSIS

Each group will report on their decision. This will be supplemented by additional analyses.

Certification

On completition of the course you will receive a certificate from ASTC Dubai.