Treasury risk management requires a fair understanding of pricing, products, modelling and local market challenges. This signature crash course workshop format compresses the content of a quarter semester across a full day course. An integrated skill building exercise that is aimed at professionals who deal with pricing, valuation, risk, policy and reporting issues related to fixed income, capital markets and foreign exchange transactions.
1. COURSE OBJECTIVES
At the end of this workshop the participants will be able to:
a. Understand the basics behind calculations of Potential Future Exposure (PFE) and Pre-Settlement Risk (PSR).
b. Integrate Value at Risk with Stop loss framework within your limit management framework and integrate them with stop loss limits.
c. Learn to use the same models for your internal limit management framework according to your institution’s risk appetite and allocated capital.
2. WORKSHOP TRAINING LEVEL
Intermediate and advance users.
3. TRAINING COURSE PREREQUISITES
Comfort with basic mathematics, numbers and EXCEL, some familiarity with local treasury products is also required. All participants are requested to arrange Laptops with a functional version of Microsoft Excel.
4. COURSE OUTLINE
|Session & Title||Topics|
|Session 1: Risk – mindset and core concepts||Introduction. Course content. Participants, Instructor.
Understanding the distribution and linking it to policy and reporting frameworks. Core concepts. Volatility, Correlation, Distributions: uniform, normal and log normal. Monte Carlo simulations, value at risk, duration, convexity and Asset Liability Management. Treasury Product review. Money Market, FX, Capital Markets. Linking products to Basel II and Senior management reporting for Market Risk.
|Session 2 : Market Risk and Limit Management framework||Limit Management and the Value at Risk framework. Understanding PSR and PFE. Integrating Value at Risk (VaR) with Stop Loss limits.
Setting limits for MM, FX and Equity products.VaR revisited. Historical Simulation, Variance Covariance. Full Valuation versus Delta Normal models.