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Training Course Summary:

At the end of the course delegates should be comfortable with the need for, and the techniques of, risk identification and quantification. They will understand the various roles of management, front office, middle office & support within an organisation’s treasury. They should also be conversant with the concepts of control that are used to contain treasury risk within the parameters defined by the organisation.

Training Course Overview/Content:

Risk Management Defined
The roles of the treasurer, management, support and middle office
The historic development of risk management
The development of new technology.

Aspects of Risk
Credit / counterparty
Normal market risk
Abnormal market conditions
Hidden exposures
Product liquidity
House liquidity risk

Concepts of Control
Defining and measuring the risk - throughout the organisation.
Traditional methods of control
Integrated control concepts.
Banking book vs trading book
Central Bank guidelines
Case studies comparing traditional methods and newer techniques
Accounting and regulatory issues.
CAD / BIS issues.

Defining the Strategy
Risk tolerance
Hedging needs
The principle of efficient frontiers

Setting Limits
Counterparty related
Market related
Simplicity vs accuracy

Interest Rate Exposure Analysis
Gap analysis
Duration and convexity: their uses as a measure of risk exposure.
The validity of yield curve analysis
The zero-coupon curve.
"Omega" risk analysis
Basis risk
Overview of VAR techniques

Foreign Exchange Exposure Analysis
Transaction risk
Pre-transaction (budget) risk
Translation risk
Economic risk, including competitor risk.