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Treasury Risk Management and ALM

  • Overview

    This course is designed for Risk Management professionals to provide an international perspective on Treasury Risk control and ALM functions within the bank.  It integrates the role of credit risk, funding costs, collateral adjustments and gap management with market risk to show the essential connections between the roles Treasury ALM and Risk Management.  The program begins with a broad overview of the nature of risk and causes of “black swan” events. The Basel framework provides some standardization for certain risk measures. This is followed by understanding of market risk impacts and gap as well as duration-based measures for asset/liability risk management. Market measurements are then introduced using various FX and derivatives risk measures both in terms of risk measurement and hedging functions. The costs of the liability side of the balance sheet are then reviewed in terms of funding costs and the associated yield curves and risk measure.  The program completes with a case analysis for participants that requires participants to use the tools covered in the course to measure, accurately assess and deal with various risk exposures.




    Our learning methodology emphasizes a hands-on, intuitive approach to convey relevant knowledge that promotes program participants to achieve success in the workplace.  Attaining this goal increases job satisfaction and helps maintain motivation. We stress the following points:

    • Learning by doing: we use a mix of purposeful simulations and group or case work to enhance understanding and reinforce topical material.
    • Instructor knowledge: all our instructors have relevant prior work experience that helps them to provide relatable examples and generate discussion using concrete examples.
    • Client customization: we actively seek to integrate relevant in-house materials, if provided, to acclimatize the participants to each client’s processes. However, we never share client specific material.
  • Day One 

    An Intuitive View of Probability Theory

    This section will provide participants with an understanding of the nature of risk and the fallacies associated with most models due to historical data and the normal distribution.  Coverage of the third and fourth moments of distribution and the relationship to black swan events are done in a non-mathematical approach and instead covered using an intuitive methodology.

    Key topics

    • Understanding the corporate form as a Nexus of contracts
    • Review price development and processes
    • Understanding the nature of risk
    • Discuss what drives volatility
    • Calculating volatility
    • Tail risk and the volatility of correlation
    • Black swan events

    Group work to estimate various levels of variance, skew and kurtosis

    Understanding Risk Classifications and Treasury ALM

    This section provides a structured review of classifying risk to create enhanced understanding and better measurement and proper application of tools and techniques to manage.  It also provides an overview of the role of Treasury ALM.

    Key Topics

    • Risk appetite determination
    • Risk classification
      • Liquidity
      • Market
      • Credit
      • Operational
      • Regulatory
      • Strategic
    • Assets and liabilities of a bank
    • Funding, Liquidity and Market Risk in a bank
    • Treasury role in managing funding, liquidity and market risks of the bank
    • The activities of the Treasury Department in Asset Liability Management
    • Managing risk: BOD business strategy and Risk Appetite Policy
    • Asset Liability Committee activities and Treasury


    Asset and Liability Gap Analysis

    This section reviews the essence of Treasury ALM using Gap Analysis. Participants are provided with an understanding of the nature of the balance sheet and how Treasury must measure and assess uncertain asset returns and balance this with funding costs from the liabilities side of the balance sheet.  Multiple examples of items from both sides of the balance sheet are reviewed to provide a contextual understanding of returns and costs.

    Key topics

    • Challenges of Maturity Transformation
    • Selecting appropriate time buckets
    • Distribution of maturing and non-maturing assets and liabilities
    • Introduction to behavioral modelling 
    • Adjusting for prepayment and redemption 


    Funding Costs and the Yield Curve

    The ALM function analysis begins with a review of the right-hand side of the balance sheet to look at the role of the yield curve and associated costs versus maturity and risk. This includes both the structure of the curve and the risks at various points along the curve.

    Key topics

    • Interest rate risk and the yield curve 
    • The benchmark rate: The credit risk free benchmark yield curve
      • Liquid government bonds: Treasuries, JCB, Gilts, Bunds
      • Inflation expectation- Liquidity premium
      • Credit Spread and the pricing of debt
      • Credit Spread on yield curves
      • Government bonds
      • Libor and Euribor banks: Ratings and credit spread over time
      • Credit spreads for loans
    • Using to price funding cost and asset returns of current assets and liabilities 
    • Understanding the zero coupon and forward rate and their use in market risk management 
    • Bootstrapping and Calculating the zero-coupon rate 
    • Calculating the forward rate 


    Funding Short Term Requirements

    Since a sizable portion of funding requirements are short term in nature, the next topic reviews these costs and risks with comparison to other STIR products.  Risk management and hedging are reviewed in context as well.

    Key topics

    • Funding the Bank short term: Deposits (retail, corporate and wholesale) and Money Markets
    • The interbank and other over the counter funding market
    • Interbank money market products: Libor, Euribor, local inter-bank, Repo, reverse repo etc.
    • Other Money Market products: Commercial Paper, Certificate of Deposit, Commercial Bills


    Day Two

    Bond Market Risk Management

    During this session participants start by building a bond pricing model in Excel. This exercise brings to life the practicalities of bond cash flows and issues surrounding day count fractions. Participants then study duration, DV01 and the various risk management measures and build these within the pricing model. The session concludes with case studies where the risk management techniques are applied.

    Key topics:

    • Bond pricing
    • Modified duration
    • Risk measurement - DV01, PVBP, Dollar duration, PV01
    • Profit and loss from bond transactions
    • Hedge ratios


    Practical Interest Rate Swap Pricing and Risk Management

    This session is highly interactive and somewhat technical in nature. Participants will build an interest rate swap pricing model in Excel whilst at the same time studying the mathematical relationships between par swap rates, discount factors and forward rates. When the model is completed a series of existing and new interest rate swaps will be priced so that participants can maximize their understanding of the mechanics of this important financial market product.

    Key topics:

    • Payment dates and periods
    • Day count conventions
    • Bootstrapping
    • Discount factors
    • Swap and forward rates
    • Interpolation between dates
    • Calculating cash flows
    • Pricing interest rate swaps


    Derivatives Introduction

    This session introduces participants to the fundamentals of futures, options and swaps. The starting point is the key features of futures; namely pricing and the margin process. Participants will also consider the benefits of futures versus over the counter forwards. The key definitions of options follow and participants are encouraged to consider options from the point of view of a deferred decision to invest. Pay-off profiles form a large part of the course, before the key issues of volatility are addressed. The final part of the session looks at swaps: interest rate, cross currency, equity and credit default. Using these derivatives to create solutions for banking clients is a key emphasis of the course.

    Key topics:

    • Fundamentals of derivatives
    • Definitions and features
    • Futures
    • Options
    • Swaps
    • Hedging strategies


    Bond Futures

    Bond futures are an important hedging tool in fixed income markets. During this session participants will follow cash and carry pricing principles to model the fair futures price. Once this has been mastered the session moves on to computing hedge ratios and using bond futures to hedge portfolios of bonds.

    Key topics:

    • Contract specifications
    • The delivery basket
    • Conversion factors
    • Implied repo rate
    • Hedge ratios
    • Hedging using bond futures
    • Spreadsheet work to develop bond futures pricing model, understand the implied bond options and conversion factors


    Day Three

    Funding Longer Term Requirements

    This section will provide participants with an overview of the major costs and hedging approaches for dealing with the more permanent funding costs for the bank.  A thorough coverage of various bond markets and costs are covered along with other costs associated with hedging and risk management.

    Key topics

    • Fixed Income Products
    • Bond market structure
    • Understanding and using bond mathematics
      • Convention, Liquidity and Pricing
      • Duration and Bond Pricing/Trading
      • What is duration?
      • Modified Duration and its impact on bond price
      • Calculation of Duration and Price movement
    • Convexity and Bond Pricing/Trading
    • Bond Issuance Process
    • Hedging applications

    Equity Components and Regulatory Capital

    This section looks at the equity capital as the final funding cost.  This component is highly regulated and covered in that context.  The concept of liquidity risk management dovetails into this coverage.

    Key topics

    • Liquidity risk regulations
    • Characteristics of liquidity risk management
    • Stress testing model
    • Stress Testing Under Basel II
      • The three pillars
      • Defining Scenarios
    • Common usage of stress tests
    • IFRS 9 and Stress Testing
    • Stress Testing Analysis
    • Scenario Analysis

    Liquidity Risk Management

    Based on the coverage of risk regulations this section reviews the role of Treasury in the context of regulatory requirements and funding coverage.  It also looks at the most recent regulatory requirement of stress testing and how this is modeled.

    Key topics

    • Role of Treasury
    • Regulatory requirements for liquidity risk management
      • Liquidity coverage ratio (LCR)
      • Net stable funding requirements (NSFR)
      • Ratios
      • Systemic risk – Liquidity risk in the financial crisis (2007-08)
    • Stress Tests For LRM
    • Institution Specific Stress Testing
    • Top Down Identification of Bank liquidity events
      • Historical Liquidity Events
        • Northern rock
        • Lehman’s
        • Soc Gen
        • European Government Bond Crisis
    • Bottom-up risk analysis
      • Liquidation
      • Unexpected collateral pledge
      • Unexpected cash flow

    Duration GAP Management Approaches

    This section summarizes the Treasury ALM function using the Duration weighting methodology for GAP management.

    Key topics

    • Measuring duration of assets and liabilities
    • Duration weighting
    • Adjusting asset liability mix for better interest rate risk management


    What Can We Learn from History / Back Testing 

    The final section reviews what can be learned from history using various specific examples that have caused structural breaks in markets and disjointed market movements.

    Key topics

    • LTCM / Amaranth / Asian Crisis 1997 / Russian Debt crisis 1998
    • Financial Crisis 2007 onwards
    • US Terrorist Attacks
    • Iraq War 2003/4


    What’s Next?

    • In groups discuss possible plausible scenarios which might cause a dramatic loss or fatal collapse to the bank. Think specifically about your Bank.
    • Some past and possible events to consider.
      • Barings / Soc Gen / UBS
      • Brexit
      • Break Up of the Euro
      • Trade Wars
      • Cyber Attack on the HK or New York Stock Exchange
      • Impact of a major rise in the US $ on Emerging Market Debt

  • 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 – 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
This course can be run as an In-house or Tailored Learning programme


  • Mark Holder


    Dr. Mark Holder is a consultant in financial markets, providing services to leading global Investment Banks, Exchanges, and Commodity Firms.  He is also a lead partner for a proprietary trading firm located in Hong Kong.  He has prior experience as the Director of Research and Product Development at two Exchanges, as well as Managing Director for a leading financial training company.  His background also includes 14 years of teaching experience at the masters and PhD levels.  While at the university he was the Chairman of the Department of Finance and Program Director of the Master Science in Financial Engineering program.   Dr. Holder has designed and conducted training programs for a wide range of clients including Goldman Sachs, Merrill Lynch, Barclays, Reuters, Dubai Financial Services Authority, CSRC, Guotai Junan, Aberdeen Asset Management and many other leading financial institutions for the past 15 years. These programs have covered a wide variety of topics, including Derivatives, Risk Management and Financial Modeling, for audiences such as Analysts and Associates to Managing Directors and Vice Chairs. He has also offered courses for Practical Training requirements and client-based courses as well.   Dr. Holder is also an accomplished author.  His publication record includes more than 50 articles in leading journals.  He was the Editor of the journal Review of Futures Markets, a leading academic journal covering the field of derivatives and markets for over 10 years. Mark has significant prior experience working in fixed incomes and derivatives from the CBOT and as a trader. He has firsthand knowledge of market practices and operations.  His evaluations show he can convey this information is an intuitive way to participants to maximize their understanding and knowledge.