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Treasury Risk Management
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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 3-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
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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
Risk Measurement and Sensitivity
Basis point values
Value at Risk (VaR):
- Parametric, Non-Parametric and Monte Carlo models
- Confidence levels
- Limitations
- Back Testing
Types and use
Reporting
Sanctions
Risks and regulatory oversight:
- Standardized
- Internal Model
- Basel 2.5 Stressed Var
- Economic and Regulatory Capital
- Identifying the range of risks
- Controls and improving processes
- Approaches to modelling: frequency and severity
- Capital requirements
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
- Additional Tier I and II, CoCos
- Securitisation
- 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 3Liquidity: Managing Liquidity Risk
Define Liquidity Risk
Diversification and concentration:
- Stability and sustainability of funding sources
- Central banks
- Collateral management
- Key metrics
- Basel III: liquidity coverage ratio, net stable funding ratio
- Scenario and back testing
- Types and use
- Reporting
- Sanctions
Charging for liquidity
Building a curve
Setting policy
Liquidity asset buffer
- Choosing appropriate assets
- Managing the portfolio
- 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
- Objectives
- Risk appetite and tolerance that suits the institution
- Oversight
- Information flow: communication and interaction
- Contingency planning and recovery
- 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.
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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 – 10/10 of the world’s largest banks have chosen us as there training provider and we have delivered training across the largest banks and have trained over 25,000 professionals.
- Knowledge – our 100+ 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 25,000 events both in person and online, using simultaneous translation to delegates from over 99 countries.
- Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 4.2/5 on service and 4.7/5 on Coursecheck
Instructor
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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
London
The map attached details some of our most frequently used venues
