Training Finance
By April 20, 2010 0 Comments

Managing Treasury Risk and Understanding The Treasury Product’s Valuation

Managing Treasury Risk and Understanding The Treasury Product’s Valuation

JAYAKARTA  Hotel – Bandung | April  30 to May 1, 2010 | 08.30-17.00 | Rp. 4.600.000,-


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, Option, Swap, Cross Currency Swap, Interest Rate Swap, Cap/Floor/Collar)
  • Understanding on how to set up Treasury Trading limit
  • Understanding on how to set up Credit Risk Limit on Treasury Product
  • Understanding to Compute The Add On Factors to perform Credit Risk Equivalent


Who Should Attend ?

Treasury, Market Risk, Credit Risk, Asset Liability, Internal Audit, Compliance, Accounting / Finance, Settlement, Strategic Investment, Credit, Business Analysts, Others


Day to Day Module

Day One

1st Session

Introduction on Treasury Business

  • Treasury’s Role, Strategy & Organization
  • Overview on Treasury Products
  • Segregation between Trading and Investment Book
  • Role on Middle Office Function

2nd Session

Market Risk

  • Definition & Background
  • Role on Market Risk
  • Market Risk on Treasury Business
  • Market Risk Factor
  • Market Risk limit Type

3rd Session

Option Risk

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

4th Session

Interest Rate Product Valuation

  • Caps, Floor, Collar Valuation
  • Swap : IRS & CCS Valuation
  • Bootstrapping method – discount Factor calculation
  • Interpolation Methods

Day Two

1st Session

Foreign Exchange Risk

  • FX Open Position
  • Gross Hand Method
  • Handling FX Risk with VAR Analytical Model
  • Stress Test on Foreign Exchange Risk

2nd Session

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

3rd Session

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

4th Session

Setting Credit Risk Limit on Treasury Products

  • Role & Responsibility : Market Risk & Credit Risk
  • Performing The Add on Factor
  • Credit Risk Equivalent Formula


“ Modeling Excell Spreadsheet is Included in this Workshop”


TIME /VENUE
April  30 to May 1, 2010
Time : 08.30-17.00
JAYAKARTA  Hotel – Bandung


Investasi :

  • Rp. 4.600.000,- (Training only)
  • Rp 6.850.000,- (Incl. Accomodation 3 Night Deluxe Room)


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