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INTRODUCTION TO TREASURY PRODUCTS & TREASURY RISK ASSASEMENT – (Pasti Jalan)

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

HOTEL IBIS SABANG/ HARRIS HOTEL TEBET | 25 s/d 26 JULI 2012  | Rp  6.750.000,-/ Person
HOTEL IBIS SABANG/ HARRIS HOTEL TEBET | 03 s/d 04 Agustus 2012  | Rp  6.750.000,-/Person  (Pasti Jalan)
HOTEL IBIS SABANG/ HARRIS HOTEL TEBET | 28 s/d 29 September 2012 | Rp  6.750.000,-/ Person
HOTEL IBIS SABANG/ HARRIS HOTEL TEBET | 30 November s/d Desember 2012 | Rp  6.750.000,-/ Person

 

 

Benefit to Participants

  • 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


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 :

  • 25 s/d 26 JULI 2012
  • 03 s/d 04 Agustus 2012
  • 28 s/d 29 September 2012
  • 30 November s/d Desember 2012

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