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Course details

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Treasury Risk Management

Explore current techniques to ensure liquidity through good Treasury Risk Management
  • Treasury is at the heart of every banking and financing operation as the fundamental survival of any institution depends on liquidity. Market, interest rate, and operational risk can never be eliminated, but instead must be measured, monitored, and controlled to ensure profitability.

     

    This practical 4-day course, Treasury Risk Management, will show you how to utilise the full array of funding and hedging instruments to respond to changing balance sheet and market scenarios. Through practical examples and case studies, it will demonstrate why sound treasury risk management is only possible through an effective and efficient governance and policy structure, where senior management is fully engaged with the Asset Liability Committee (ALCO).

    By the end of this program, participants will be better able to:

    • Analyse and assess the different types of risks arising from the assets and liabilities on the balance sheet
    • Use and understand the basic tools to measure risk and its sensitivity to changing market conditions
    • Know which funding instruments and hedging strategies are available and when to best put them into practice
    • Evaluate the extent of liquidity risk exposure in a bank, via the application of a full suite of liquidity risk metrics
    • Understand liquidity buffers and their management
    • Appreciate liquidity risks beyond basic loans and deposits
    • Evaluate the appropriate level of liquidity risk controls, with the consequences for lending;
    • Grasp the formulation and value of stress tests
    • Understand the concept of internal funds transfer pricing and evaluate the appropriateness of a particular model to any type of institution
    • Formulate a range of funding policies for the banking and trading books
    • Understand the role and influence of the Asset Liability Committee (ALCO) of a bank, and its appropriate governance framework

     

    Note - A good level of spoken and written English is required to attend this course. Delegates should be of an intermediate standard in English at a minimum. Please refer to the Common European Framework of Reference for Languages - as a guide the level required is B2.

     
  • Day 1


    Interest Rate, Market, and Operational Risk
    Introduction to Risk and Risk Management in the Treasury


    Interest Rate Risk

    Earnings at Risk
    Net interest income: what’s at stake
    Types of interest rate risk:
    • Gap
    • Yield curve
    • Duration and Convexity
    • Optionality
    • Basis
    Mark-to-market and portfolio valuation

    Risk Measurement and Sensitivity

    Basis point values
    Value at Risk (VaR):
    • Parametric, Non-Parametric and Monte Carlo models
    • Confidence levels
    • Limitations
    • Back Testing
    Risk Management Limits

    Types and use
    Reporting
    Sanctions
    Risks and regulatory oversight:
    • Standardized
    • Internal Model
    • Basel 2.5 Stressed Var
    • Economic and Regulatory Capital
    Operational Risk
    • Identifying the range of risks
    • Controls and improving processes
    • Approaches to modelling: frequency and severity
    • Capital requirements
    Exercise: Participants will perform interest rate gap and risk analysis on hypothetical asset/liability management positions, assess overall risk, and make funding decisions.

    Day 2


    Funding Instruments and Hedging
    Money Market Funding Instruments

    • Cash management
    • Deposits, CDs/CP, repo
    • FRA and Futures in Money Market
    • Exchange Traded and OTC instruments
    • Market characteristics: size, liquidity, investors

    Term Issuance

    Structuring debt programs
    • Market selection
    • Legal framework, listings
    • Features: fixed/floating,
    Basel III capital rules
    • Additional Tier I and II, CoCos
    • Securitisation
    FX
    • Settlement risk
    • Exchange controls
    • Trading platforms
    • Forward and FX futures

    Hedging
    • Interest Rate Swaps
    • Options
    - Black Scholes
    - Caps, collars and floors
    - Participating Cap

    Exercises: Participants will
    -test their understanding of treasury mechanics by calculating futures/FRA/Forward FX pricing, swap pricing,
    -Determine pricing of caps/collars and floors
    -form teams to construct hedges and monitor their performance


    Day 3


    Liquidity

    Managing Liquidity Risk


    Define Liquidity Risk
    Diversification and concentration:
    • Stability and sustainability of funding sources
    • Central banks
    • Collateral management
    Measurement metrics and monitoring:
    • Key metrics
    • Basel III: liquidity coverage ratio, net stable funding ratio
    • Scenario and back testing
    Limits:
    • Types and use
    • Reporting
    • Sanctions
    Internal funds transfer pricing
    Charging for liquidity
    Building a curve
    Setting policy

    Liquidity asset buffer
    • Choosing appropriate assets
    • Managing the portfolio
    Exercise: Participants will:
    -calculate liquidity risk gaps and ratios, and evaluate the liquidity profile of a bank
    -develop an internal fund transfer pricing policy for a bank
    -Case Study: Northern Rock


    Treasury Risk Management Operating Model
    Treasury structure

    • Role and responsibilities
    • Utility or profit centre?
    • Capital allocation: treasury as an agent of change
    Trading and funding policy
    • Objectives
    • Risk appetite and tolerance that suits the institution
    ALCO
    • Oversight
    • Information flow: communication and interaction
    • Contingency planning and recovery
    Regulation and Proprietary Trading
    • Ring fencing
    • Where is the line between market making and prop trading?

    Exercise: Participants will analyse case studies of notable treasury risk management failures. Special attention will be paid to policy and procedure, funding sources, management, limit enforcement, risk measurement, and supervisory reporting failures. Participants will propose and discuss risk management policies that could have produced markedly better outcomes.

    Course summary and conclusion 
  • Our Tailored Learning Offering

    Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company’s exact requirements? If you’d like to do either of these, we can bring this course to your company’s office. You could even save up to 50% on the cost of sending delegates to a public course and dramatically increase your ROI.

    If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

    We produce learning solutions that are completely unique to your business. We’ll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.

  • We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

    We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

    • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
    • Track record – we have delivered training solutions for 95% of worlds’ top 100 banks and have trained over 250,000 professionals.
    • Knowledge – our 150 strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
    • Reliability – if we promise it, we deliver it. We have delivered over 20,000 events both in person and online, using simultaneous translation to delegates from over 180 countries.
    • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 96% on service and 95% on product
This course can be run as an In-house or Tailored Learning programme

Instructor

  • Thierry Fuller

    Biography

    Thierry Fuller is a highly experienced trainer and consultant in operational, credit and market risk management.  Since, 1997, he has worked as a consultant and trainer with the Top Three Investment Banks in the World (Goldman Sachs, Morgan Stanley, BofA Merrill Lynch), most of the largest 20 Banks in the World (Citi, J.P. Morgan Chase, Stanchart, BBVA, ABN AMRO , Commerzbank etc…) , all Top 4 Audit/Tax Accounting Firms, commodity trading company and other prestigious financial institutions.  Recently, Mr. Fuller has worked with Central Banks (such as Central Bank Ireland, Bank Indonesia etc.) in the area of trading room risk management, regulation, supervision and Basel 2/3 implementation. Mr. Fuller has also worked with emerging market banks in Mexico, Brazil, Hong Kong, Malaysia, Singapore, Indonesia and Thailand in corporate transformation and risk management. In China, Mr. Fuller has worked with local banks such as ABC, HSBC and Standard Chartered.  Mr. Fuller’s banking experience includes developing and managing the Capital Markets and Derivatives businesses for Wachovia Banks, America’s fourth largest bank at the time. He also led the development of the risk management operations and infrastructure for the trading room. His banking experience also includes working in corporate finance/investment banking, especially concerning M&A for financial institutions, and asset management at Brown Brother Harriman in New York.  Mr. Fuller has also worked as a management consultant at McKinsey & Company in strategic consulting and organizational changes for banks. He has also worked in the Corporate Finance/Treasury Consulting Practice at KPMG in New York where trading, risk management, auditing and compliance where high priority.  Mr. Fuller was a Joseph Lauder Fellow at the Wharton School where he received his MBA. He also graduated with an MA in International Studies and an MA in Political Science from the University of Pennsylvania. Mr. Fuller completed his undergraduate studies at Columbia University.  

Venue

Dubai

This programme takes place on a non-residential basis at a Central Dubai Hotel.

Non-residential course fees include training facilities, documentation, lunches and refreshments for the duration of the programme. Delegates are responsible for arranging their own accommodation, however, a list of convenient hotels (many at specially negotiated rates) is available upon registration.

Dubai has an incredible number of hotels. Courses held here are mainly held at the:

Nassima Royal Hotel
Plot 49 Sheikh Zayed Road, Trade Centre District Dubai, United Arab Emirates
http://nassimaroyalhotel.com

Nassima Royal Hotel is a modern, stylish, luxury hotel on Sheikh Zayed Road. Towering at 51 stories, the hotel offers stunning views over Dubai and its iconic landmarks.

You can also view other recommended hotels on this map: