Advanced Studies and Training Centre

Course Objectives
This intensive treasury risk management training course is designed to offer treasury executives, whether in corporations or financial institutions, a thorough coverage of the techniques available for modern treasury management and evaluating treasury risk. The complexity of cash management in modern financial markets has placed much more emphasis on the treasury function. This not only involves keeping control over increasingly complex interest rate and currency exposures, but also keeping abreast of the latest techniques for managing those risks whilst effectively managing the funds of the institution.
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Who Should Attend?
Corporate Treasury Executives Corporate Finance Executives Relationship Officers Money Market Managers Foreign Exchange Executives Accountants and Auditors all those involved with Treasury Risk Management
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Course Outline
Day 1 FRAMEWORKS FOR IDENTIFYING AND ANALYSING RISKS Outline of a treasury function The treasurer’s role Risk versus return Finance versus business risk Types of risk Identification, analysis and control of risks Hedging approaches and costs Corporate case study The importance of policies, internal control and audit PERFORMANCE MEASUREMENT AND CAPITAL ALLOCATION Why measure performance? The problems involved Meaningful benchmarks Examples of methodologies The capital adequacy directive Efficient use of capital Value-at-Risk approaches Risk adjusted returns on capital DEBT MANAGEMENT AND THE DEBT / EQUITY RATIO Managing cash and working capital Forecasting cashflows Financing with debt versus equity Maturity profiles Fixed versus floating The question of mismatches
Day 2 MEASURING INTEREST RATE RISK Gap analysis Types and uses of gap analysis Macaulay duration Examples of Macaulay calculations Modified duration Convexity adjustments Rate shocks Simulation approaches GAP CASE STUDY Delegates, in small groups, will prepare and comment upon a gap report for a multi-national corporation. FOREIGN EXCHANGE RISK MANAGEMENT Types of transactions Spot, forward and FX swap transactions Translation exposure Economic exposure Currency options Put / call parity explained Hedging decisions FOREIGN EXCHANGE RISK MANAGEMENT Delegates, in small groups, will analyse a typical corporate foreign exchange exposure.
Day 3 THE TOOLS OF RISK MANAGEMENT Forward - forward transactions Forward Rate Agreements (FRAs) Financial futures Interest rate and currency swaps Interest rate options Swaptions Relationships between products RISK MANAGEMENT EXERCISES Delegates, in small groups, will work through some examples to ensure a thorough understanding of the mechanics. FUTURES IN TREASURY MANAGEMENT FRAs versus futures Measuring exposure in futures equivalents Designing a futures hedge handling basis risk Spot, interpolated and extrapolated hedges Option versus futures hedges
Day 4 USING SWAPS AND ASSOCIATED PRODUCTS Analysing cash flows Constructing the discount function Hedging with swaps Swaps and the capital markets Basis swaps Asset swaps SWAP CASE STUDIES Delegates, in small groups, will be required to analyse hedging, funding and investing decisions using derivatives. STRUCTURED FINANCE - CASE STUDY Delegates, in small groups, will work through a complex structure of issuing a fixed income bond to produce cheap domestic funding. ASSET SWAPS - CASE STUDIES Delegates will construct a long dated discount function using log linear interpolation and structure an asset swap using a fixed income bond and a forward start swap followed by the structuring of low income, tax effective structures.
Day 5 INTRODUCTION TO ASSET AND LIABILITY MANAGEMENT Why manage the balance sheet? The problems Net interest income versus market value ASSET & LIABILITY MANAGEMENT CASE STUDY Delegates, in small groups, will assume the role of an ALCO and using some typical reports will decide upon the validity of a particular strategy. CASE STUDY: RESULTS AND ADDITIONAL ANALYSIS Each group will report on their decision. This will be supplemented by additional analyses.
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