Informa Connect
Courses in a Masterclass in Treasury Risk Management
London, United Kingdom
DURATION
5 Days
LANGUAGES
English
PACE
Full time
APPLICATION DEADLINE
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EARLIEST START DATE
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TUITION FEES
GBP 4,895
STUDY FORMAT
On-Campus
Scholarships
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Introduction
Improve your treasury risk management expertise, leaving with a short-, medium--, and long-term plan for your firm.
A deep understanding of how to implement best practices within the Treasury function is vital to all enterprises. It is especially critical to financial institutions such as commercial banks, central banks, and those firms engaged in financing and asset management operations.
What You'll Learn
- Explain wholesale money markets and repo financing
- Identify the factors which brought about the breakdown in funding markets during the 2007/8 financial crisis
- Explain balance sheet liquidity when capital markets are facing stress
- Appreciate the relationship between capital adequacy and liquidity risk
- Identify money market spreads and volatility as precursors of changes in liquidity conditions.
Curriculum
Day 1
- Overview of the Treasury Function
- Interest Income Metrics
- Fundamentals of Asset & Liability Management
- Mark to Market Risks for Income Assets and Funding Instruments
Day 2
- Interface of Money Markets and Foreign Exchange
- Central Banks and Monetary Policy
- Securities Pricing in the Presence of Illiquidity
- Changes in Liquidity and Volatility
- Liquidity Risk – Stress Testing/Scenario Analysis
Day 3
- Balance Sheet Management and Funds Transfer Pricing (FTP)
- Using IR and FX Swaps for Treasury Risk Management
- Duration Targeting and Duration Gap Analysis
Day 4
- Hedging of Funding Instruments
- Interpreting Money Market Data
- Models for Interest Rate Forecasting
Day 5
- Stress Testing Methods for Treasury
- Interest Rate Risk in The Banking Book (IRRBB)
Case Studies and Practical Session
This certified treasury professional course is packed with practical sessions. Here are some case studies that you will be looking at:
- “Securitized Banking and the Run on Repo” (Paper by Gorton and Metrick, 2010) - Contrasts the traditional notion of a run on banks via depositor withdrawals with the experience in the 2007/8 crisis characterized as a run on repos
- Examination of the 2022 BIS Triennial Survey of the FX market
- Practical illustration of Monte Carlo techniques for stress testing.