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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