Corporate / Group Training

A Masterclass in Treasury Risk Management (In-House)

5 days
4,499 GBP
Next course start
Inquire for more information See details
5 days
4,499 GBP
Next course start
Inquire for more information See details
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Course description


A Masterclass in Treasury Products & Risk Management (In-House)

  • Choose when to use a risk management technique to give the best results
  • Identify, measure and manage your firm’s currency and interest rate exposures
  • Save yourself and your clients money by using cost-effective hedging techniques
  • Use your new understanding of the mistakes others have made to avoid making losses
  • Use recent market transactions to learn what happens when treasury risks are managed well and what happens when they are not

Upcoming start dates

1 start date available

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  • On-site
  • Worldwide
  • English

Training content

Day 1

Currency Risk Management Policies

  • The role of the treasurer
  • The role of the CFO
  • The functions of a treasury
  • Profit centres and cost centres
  • Centralised and decentralised treasuries
  • Netting and in-house banks
  • The importance of policies, procedures and risk management controls

The Users of Treasury Products

  • Borrowers and issuers
  • Investors: Asset managers, wealth managers, hedge funds and private equity
  • Banks: Central banks, commercial banks, investment banks and private bank

Currency Risk Management Solutions

  • Spot foreign exchange
    • base and variable currencies
    • appreciation, depreciation, strengthening and weakening of currency positions
    • calculating cross rates
  • Forward foreign exchange
    • forward pricing
    • forward points
    • discounts and premiums
  • Foreign exchange swaps
    • origin of the product
    • comparison with repos
    • efficiency of the product
    • FX swaps turnover
  • Currency swaps
    • exchanges of principal
    • gross and net settlement of differentials
    • relationship to forward outrights and FX swaps
    • advantages over the forward market
  • Currency options
    • asymmetric risks
    • reconciling options with our pricing principles
    • comparison with the forward market
  • Natural hedging

Day 2


  • Identifying and analysing risk
    • types of risk
    • long and short positions
  • Hedging
    • physical delivery
    • contracts for differences
    • the importance of carry
    • put/call parity
    • the role of leverage in derivatives hedges
  • OTC and exchange traded products
    • initial and variation margins work
    • Herstatt risk
    • DVP, PVP & CLS Bank
    • symmetrical and asymmetrical risk management
    • equal and opposite positions
    • IAS 39 and IFRS 9

Measuring Treasury Performance

  • Defining objectives
  • Challenges in performance measurement
  • ROE, modified duration, PV01, DV01 and VaR
  • Banks and corporations: approaches to performance measurement

Day 3

Money Markets and Interest Rate Risk

  • T-Bills, CDs, CP, ABCP
  • IBORs, IBIDs, IMEANs and the interbank money markets
  • Replacing LIBOR
  • Repos, securities lending and sell/buy backs
  • Day count conventions: act/360, 30/360 and act/act
  • Discounts and yields
  • Present values, future values, IRRs, YTMs and AICs
  • ICMA 803.1 & 803.2

Understanding Money Market and Swap Market Yield Curves

  • Liquidity preferences
  • Preferred habitats
  • Market expectations
  • Market segmentation
  • Efficient markets?

Interest Rate Hedging Tools

  • FRAs and futures
  • Using interest rate swaps
    • generic, ‘plain vanilla’ swaps
    • swap structures
    • par/par structures
    • forward starting swaps
    • amortising, accreting and roller-coaster swaps
  • Caps, floors and collars
    • option pricing
    • importance of delta and gamma in hedging
  • Swaptions

Multi-Currency Debt Management

  • Using forward foreign exchange outrights
    • forward pricing
    • covered interest arbitrage
    • forward points
    • discounts and premia
    • hedging currency debt
    • arbitraging the credit spread
  • Using FX swaps
    • hedging currency debt
    • arbitraging the credit spread
    • the carry trade
  • Using currency swaps
    • paying and receiving the basis
    • exchanges of principal
  • Using currency options

Day 4

Swap Driven Bond Issues

  • Sources of floating rate finance
  • Sources of fixed rate finance
  • Contracts for differences and physical delivery

Asset Liability Management

  • Gaps
  • Structural interest rate risk
  • Borrowing short and lending long
  • Leverage and structured products
  • The role of ALCOs
  • Hedging strategies in practice
  • Market cycles
  • Lessons from the crisis
  • Perspectives of banks and companies

Day 5

Equity Capital Markets: Medium and Long-Term Financing Strategies

  • ADRs and GDRs
  • Shares and preference shares
  • Pricing
  • Multiples
  • Origination
  • Underwriting
  • Distribution

Debt Capital Markets

  • Government, corporate and international bond issues
  • Fixed rate issues
    • pricing
    • benchmarks
    • AIC, YTM, IRR
    • origination
    • underwriting
    • distribution
  • Floating rate notes
    • pricing
    • distribution
  • The term structure of interest rates
    • using zero coupon rates
    • calculating the Z-spread

Liquidity Risk Management

  • Lessons from the crisis
    • stress testing
    • contingency funding plans and asset market liquidity
    • off-balance sheet activity and contingent commitments
    • capital
    • supervision and market information
    • central bank facilities
  • Measurement and management of liquidity risk
    • identifying, measuring and controlling liquidity risk
    • managing liquidity across business divisions
    • funding strategies
    • managing intraday liquidity
    • stress testing
    • contingency funding plans
  • The Liquidity Coverage Ratio and the Net Stable Funding


Course Fee: £4999.00 + VAT (London), £2999 + VAT if applicable (Online)

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