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
- Floating rate Bond
- Deferred Coupon Bond
- 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:
- Calculation on Premium, Intrinsic & Time Value
- Introduction to Greeks
- 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