Comprehensive Treasury Risk Management
Objective: comprehensive 4-day programme to examine all aspects of IR
and FX securities and
derivatives from a theoretical as well as real world perspective and a full treatment
of basics of conceptual and real world VAR for IR portfolios, including:
· all
machinery for IR/FX valuation including curve generation
· through
understanding of options valuation both "what the books say" and
"what actually happens"
· traditional as well as specific VAR methods (CVAR, HVAR, Monte
Carlo VAR) couched in a Regulatory framework
·
what the difficulties are including VAR validity/verification, how
traders can circumvent the limit reports, and how some instruments can
"become" other instruments via uses/abuses
·
includes all of the "Treasury IR" material plus FX, as
well as attention to advanced issues in many areas including term structure
issues, complex derivatives, portfolios, and so forth
Audience:
market professionals with at least 2-year experience
· Management, treasurers,
·
Risk Management
1) Overview: big picture introduction including what risk management
is and is not, the basic tenants of the markets and valuation, as well as
difficulties.
2)
Markets/Products: a comprehensive treatment of IR/FX
products from present value theory to securities and derivatives pricing, market
convention curve generation, and risk management/position risk of IR/FX products in
multi-currency settings (including IRP adjustment), as well as credit
derivatives.
3)
Options: comprehensive treatment of valuation under uncertainty
and options pricing, including a clear distinction between risk-neutral
(Black-Scholes) and outright positions. The treatment includes coverage basic tools of valuation,
exotic and term-structure problems, as well “reality impact” of theory vs.
practice, and may include “advanced valuation concepts and tools”.
Advanced: a wide variety of medium and complex options such as
exotics, convertible, and embedded structures, and their implications in
portfolio management.
4)
VAR for Risk Management: examination of VAR concepts, tools, and
methods for risk management and may additionally include to any extent coverage
of Monte Carlo (historical VAR),
RiskMetrics (Covariance VAR), CreditMetrics (Covariance VAR), as well as
treatment of VAR under IRP. The
section also included a “reality impact” chapter illustrating ways in which
VAR may fail for reasons including lack of testing, trader “accounting
arbitrage” and “product transmutation”.
This section may also include more advanced analyses for the assessment
of “scenarios of scenarios” and VAR in isolation vs. an interactive
environment.
5)
Regulatory Issue: Review and examination of Regulatory principles and
frameworks (Basle, CAD), and implications for limits reporting, and efficient
operations.
850
Pages of
comprehensive and extensively illustrated Handout Notes (see samples
here)
Plus copies of relevant TG2 Books/e-Books
Note:
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"
list HERE)
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