Core Treasury Skills

2 Day Workshop
(Workshop is not being offered at this time)

Introduction

This seminar is intended for those who are new to the treasury function of a bank, new to market trading or who wish to gain an understanding of the core skills required to work in a treasury environment. It will be of use to:

• investment professionals
• treasury professionals
• balance sheet and capital managers
• asset and liability managers and analysts
• risk managers and portfolio managers
• treasury middle office and operations personnel
• treasury auditors
• investment bankers
• regulatory and compliance personnel
• it and operations professionals.

Pre-requisites

No prior experience of market trading or of treasury activities is required as this seminar first covers the basics before moving on to more advanced topics. However it is assumed that all delegates are familiar with common financial terms and have a basic understanding of banking and the functions of a financial institution. 

Content

Day 1 – Understanding treasury and market activities

An introduction to treasury and market functions

• The role and structure of a bank’s treasury
  • Market risk
  • Traded market risk
• Interest rate risk in the banking book
• Trading strategies
• Capital

Types of market instrument

• Cash instruments
  • Foreign exchange - Spot and Forward
  • Foreign exchange rate swap
  • Loans/deposits
  • Certificates of deposit
  • Bonds
  • Equities
  • Commodities
• Derivative instruments
• Forward Rate Agreements
  • Swaps
  • Options

A practical introduction to banking and finance theory

• Time value of money
• Banking and applications of:
  • Portfolio Theory
  • Intrinsic value
  • Expected utility theory
• Arbitrage and equilibrium theory
• Efficient market hypothesis

Asset and liability management

• What is ALM?
• Interest rate risk management
• Liquidity, liquidity risk and its management
• Hedging strategies

Day 2 – Measuring market risk and understanding derivatives

The uses of statistics and application of VaR

• Definition of and introduction to statistics
• Definition of Value at Risk
• Computing Value at Risk
• Using Value at Risk
• Beyond simple VaR
• Practicalities of VaR

Yield Curves

• The yield curve and the term structure of interest rates
• “Bootstrapping”
• Yield curve development
• Yield curve shape
• Interest rate forwards
• Discount factors
• Constructing a yield curve from market data

Options – pricing, trading and hedging

• Options – fundamental properties and concepts
• Using options
• Understanding option pricing
• Option price sensitivities and hedging
• A review of the different types of options
  • Interest rate options
  • Currency options
  • Equity Options
  • Commodity options
  • Exotic options

Swaps – pricing, trading and hedging

• Swaps – fundamental properties and concepts
• Using swaps
• Understanding swaps pricing
• A review of the different types of swaps
  • Interest rate swaps
  • Foreign exchange rate swaps
  • Currency swaps
  • Exotic swaps