Duration: 2 days
- 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 objective 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.
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
09.00 - 09.15 Brief recap
09.15 - 12.00 Advanced Treasury Risk Management
- VaR and its Role in Treasury Risk Management
- Mapping of cash flows
- Calculating undiversified VaR
- Calculating diversified VaR
- Calculating “Cash-Flow-at-Risk”
- Calculating “Earnings-at-Risk”
Risk Management Case Study: CorporateMetrics™
- What is CorporateMetrics?
- How Does CorporateMetrics Work?
- Implementing CorporateMetrics
- Which hedging strategy to use
- Market risk limits
- Regulatory Reporting
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
Accounting Issues Related to Use of Financial Instruments
- Treasury IT Systems
- Benchmarking and Performance Measurement
Evaluation and Termination of the Seminar