INTRODUCTION TO TREASURY PRODUCTS & TREASURY RISK ASSASEMENT

INTRODUCTION TO TREASURY PRODUCTS & TREASURY RISK ASSASEMENT :  “Focusing Treasury Product Knowledge & Market Risk Assessment on Treasury Products”
HOTEL IBIS SABANG/ HARRIS HOTEL TEBET | 28 s/d 29 September 2012 | Rp  7.350.000,-/ Person
HOTEL IBIS SABANG/ HARRIS HOTEL TEBET | 30 November s/d 1 Desember 2012 | Rp  7.350.000,-/ Person

 

 

 

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 Spreadshee

 

Tuition Fee

• Rp  7.350.000,-/ Person

 

Date :

• 28 s/d 29 September 2012
• 30 November s/d 1 Desember 2012

 

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