Session 1: The treasury – identifying, analysing and managing risk

• Outline of a treasury function
• The treasurer’s role
• Risk versus return
• Finance versus business risk
• Types of risk
  • Credit
  • Market
  • Operations
  • Other risks
• Identification, analysis & control of risks
• VAR, back testing and simulation

 Session 2: Bank capital management

• ALCO
• Managing cash & working capital
• Forecasting cash flows
• Financing with debt versus equity
• Maturity profiles
• Fixed versus floating
• The question of mismatches
• Hedging approaches and costs

 Session 3:  Understanding interest rate risks

• Liquidity
• Gap analysis
• Types and uses of gap analysis
• Rate shocks
• Simulation approaches
• Discount window operations and lender of last resort facilities
• Duration
• Modified duration
• Convexity
• Repo – financing and liquidity operations
• High-yield bond markets

 Session 4: Foreign exchange risk management

• Types of transaction
• Spot, forward and FX Swap transactions
• Translation exposure
• Economic exposure
• Currency options
• Put / call parity explained
• Hedging decisions

 Session 5: The tools of interest rate risk management

• Forward transactions
• Forward Rate Agreements (FRAs)
• Financial futures
• FRAs versus futures
• Interest rate & currency swaps
• Interest rate options
• Swaptions
• The impact of changing regulation

 Session 6:  The trading room

• The nature of the team dynamics
• Governance and structure
• Ethics and compliance
• The trading cycle
• Trading intention
• Monitoring and measurement
• Errors and omissions
• Limits and excesses

 Session 7:  Introduction to Liquidity Risk Management in Financial Institutions

• Defining Liquidity Risk and its importance to the banking system.
• Asset & Liability Management
• Roles
• Functions
• Objectives

Session 8:  Measuring Liquidity Risks – Key Measures

• Liquidity Gap Analysis
• Volatilities
• Duration Analysis
• Credit Risk
• Yield Curves
• Forward Curves
• Counterparty Risk
• Credit Ratings
• Market Dealing Practices

 Session 9:  Liquidity Risk Regulation

• The liquidity sound practices paper from the BIS
• The importance of a stock of high-quality liquid assets
• The liquidity coverage ratio
• The Basel paper on LCR and monitoring tools (2013)
• Liquidity coverage disclosure standards (2014)
• Net stable funding ratio (2014)
• The impact on liquidity risk management

Session 10:  Managing Liquidity Risks

• Asset and Debt Management Structures
• Cash-flow Matching
• Dealing with Excess Liquidity
• REPO
  • Borrowing and Lending
  • Fixed income inventory management
  • Stock lending
• Derivative Hedging
• Historical case studies to illustrate liquidity risk issues
• Basel sound practises paper
• Treasury Liquidity Management function
• Day-to-day operations management
• Quantity and Quality of Liquidity Risk Indicators
• Contingency planning
• Crisis Management

Session 11:  An Introduction to Stress Testing

• What is stress testing?
• What is the difference between scenario modelling and stress testing
• Confidence Levels
• Types of stress tests
• The relation between distributions and stress testing
• Scenario modelling, sensitivity analysis, historical vs. models
• BIS Principals of sound stress testing
• Other regulatory papers

Session 12:  Market Risk and Liquidity Risk Stress Tests

• Types of market risk stress tests
• How markets move under stress
• Risk mitigation strategies
• Linkage to credit stress tests
• How to develop typical stress tests
• How to build market risk stress modelling into a risk framework
• Types of liquidity risk stress tests
• Reserve funding lines
• How to build liquidity risk stress modelling into a risk framework
• Contingency funding plans and stress tests

• By the end of this course participants will have an understanding of the nature of liquidity risk. They will appreciate its impact upon bank strategies and the trading and non-trading operations of financial institutions and will possess knowledge of the approaches taken to measure, manage and control liquidity risk within financial institutions.

Delegates who complete the course will receive a Certificate with equivalent CPD/CPE credits via email; and for those who require an assessment as a demonstration of competency via training a 20 multiple-choice questions and answers quiz, remotely invigilated with results report and 1 resit, is available at no additional charge when requested at time of reservation.

Highly interactive expert-led intensive presentation, Q&A, group real-time in-depth case studies, regulation and discussion supported by key principles and theory. The virtual learning platform uses safe, industry preferred encrypted Cisco WebEx to optimize live face-to-face visual interaction, discrete chat, for polling and quizzes.

(An invitation via email with access link is included for all participants.)