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INTRODUCTION TO TREASURY PRODUCTS & TREASURY RISK ASSASEMENT

INTRODUCTION TO TREASURY PRODUCTS & TREASURY RISK ASSASEMENT
“Focusing Treasury Product Knowledge & Market Risk Assessment on Treasury Products”

KARTIKA CHANDRA HOTEL – Jakarta | December 2 to 3, 2011 | 08.30-17.00 | IDR 4,650,000 perperson


Benefit to Participants

This workshop provides very practical guidelines on following matters:

  • Understanding of Treasury Business, their complex products and how is distributed and well managed among their Desks / Traders
  • Understanding of Market Risks Type at any products related to Treasury Products: (such as Forward, Fixed Income, FX Option, Swap, Cross Currency Swap, Interest Rate Swap)
  • Understanding on how to set up Treasury Trading limit

Who Should Attend ?

Treasury Officers – Treasury Business Analyst – Risk Management Officers – Financial Analyst – Financial & Planning – Research & Development – Audit


Day 1: Basic Treasury Products
Treasury Organization Set Up

  • Funding & Liquidity Management Role
  • Trading Desk Role
  • Treasury Sales Role

Conceptual on Bonds, Capital Market and Money Market

  • The Financial Math
  • Time Value of Money Concept
  •  PV from Ordinary Annuity

Money Market

  • Commercial Paper
  • Bankers Acceptance
  • CD
  • Repo
  • SBI

Bonds Market

  • Issuer Type
  • Credit Worthiness
  • Credit Spread Theory
  •  Bond’s type:
  • Issuer Type
  • Credit Worthiness
  •  Credit Spread Theory
  1. Floating rate Bond
  2. Deferred Coupon Bond
  3. Embodied Option Bond
  • Bond Pricing
  • Current Yield, Coupon and YTM
  • Reinvestment Risk
  • Price Volatility

Foreign Exchange (FX) Market

  • Factors Affecting FX
  • FX transaction
  • Quotation
  • Market Terminology
  • Cross rate
  • Transaction Types : Spot, Forward,
  • Product Related to FX: FX Swap & Options
  • Forward rate
  • Forward Hedging
  • FX Swap
  • FX Hedging
  •  Financial Derivatives
  •  FX Options:
  1. Calculation on Premium, Intrinsic & Time Value
  2. Introduction to Greeks
  3. Introduction to Structured Product

Day 2: Treasury Risk Management (Market Risk)
Option Risk

  • The language of Option
  • Managing & Understanding Delta
  • Hedging with Options
  • Relationship between Delta, Vega & Gamma
  • How to set up Option Limit
  • FX Option using Garman Kohlhagen Model

Interest Rate Product Valuation

  • Swap : IRS & CCS Valuation
  • Bootstrapping method – discount Factor calculation
  • Interpolation Methods

Foreign Exchange Risk

  • FX Open Position
  • Gross Hand Method
  • Handling FX Risk with VAR Analytical Model

Fixed Income Risk & Analytics

  • Valuation on Fixed Income
  • Profit Target versus Loss Budget
  • Sensitivity & Analytics (PVBP & Portfolio Duration)
  • Market Risk Limit on Fixed Income
  • Immunization Effect
  • Bond Linked Investment using Black Scholes Model

Simulation on Performing The Treasury Portfolio Trading Limit

  • Risk vs Return Trade Off
  • Alert versus Limit
  • Notional Limit
  • Duration Limit
  • Present Value of Basis Point (PVBP) Limit
  •  Stop Loss Limit & Management Action Trigger
  • Case Study : Simulation Trading Limit on Excell Spreadsheet

“ Modeling Excell Spreadsheet is Included in this Workshop”

TIME /VENUE

  • December 2 to 3, 2011
  • Time : 08.30-17.00
  • KARTIKA CHANDRA HOTEL – Jakarta


Investasi :

  • Rp. 4.650.000,- (Training only)

Facilities :

  •  Snacks & Lunch
  • Certificates
  • Hand Book Material
  • Spreadsheets CD Material



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