Treasury Risk Management
September 9th-11th 2019London

Course Overview

Treasury is at the heart of every banking and financing operation. Ensuring liquidity must be the top priority, as the fundamental survival of any institution depends on it. Market, interest rate, and operational risk can never be eliminated, but instead must be measured, monitored, and controlled to ensure profitability. In managing risk, treasury professionals utilise the full array of funding and hedging instruments to respond to changing balance sheet and market scenarios. Sound treasury risk management is possible only through an effective and efficient governance and policy structure, with senior management fully engaged with the Asset Liability Committee (ALCO).

What will you Learn?

  • Analyse and assess the different types of risks arising from the assets and liabilities on the balance sheet
  • Use and understand the basic tools to measure risk and its sensitivity to changing market conditions
  • Know which funding instruments and hedging strategies are available and when to best put them into practice
  • Evaluate the extent of liquidity risk exposure in a bank, via the application of a full suite of liquidity risk metrics
  • Understand liquidity buffers and their management
  • Appreciate liquidity risks beyond basic loans and deposits
  • Evaluate the appropriate level of liquidity risk controls, with the consequences for lending;
  • Grasp the formulation and value of stress tests
  • Understand the concept of internal funds transfer pricing and evaluate the appropriateness of a particular model to any type of institution
  • Formulate a range of funding policies for the banking and trading books
  • Understand the role and influence of the Asset Liability Committee (ALCO) of a bank, and its appropriate governance framework


Who Should Attend?


This course is a broad overview program without advanced mathematical formulae or modelling that would be ideal for professionals in:

  • Trading/trading room management
  • Interest rate, market, and operational risk management
  • Sales and origination
  • ALCO / ALCO support
  • Finance
  • Back office/operations
  • Audit and compliance
  • Systems / ICT


Day 1


Interest Rate, Market, and Operational Risk


Session 1 – Interest Rate Risk


  • Net interest income: what’s at stake
  • Types of interest rate risk
    • Gap
    • Yield curve
    • Optionality
    • Basis

Session 2– Market Risk

  • Credit spreads
  • Mark-to-market and portfolio valuation
  • Systemic risk

Session 3 – Risk Measurement and Sensitivity

  • Basis point values
  • Duration and convexity
  • Value at Risk (VaR)
    • Historical, variance-co-variance, and Monte Carlo models
    • Confidence levels
    • Limitations

Session 4 – Limits

  • Types and use
  • Reporting
  • Sanctions

Session 5 – Benchmarks

  • How they are set
  • How they are used
  • Risks and regulatory oversight

Session 6 – Operational Risk

  • Identifying the range of risks
  • Controls and improving processes
  • Approaches to modelling: frequency and severity
  • Capital requirements


Participants will perform interest rate gap analysis on hypothetical asset/liability management positions, assess overall risk, and make funding decisions.

Day 2

Funding Instruments and Hedging

Session 7 – Money Market Funding Instruments

  • Cash management
  • Deposits, CDs/CP, repo
  • Market characteristics: size, liquidity, investors

Session 8 – People – Term Issuance

  • Structuring debt programs
    • Market selection
    • Legal framework, listings
    • Features: fixed/floating, optionality, guarantees
  • Basel III capital rules
    • Additional Tier I and II, CoCos
    • Securitisation

Session 9 – FX

  • Settlement risk
  • Exchange controls
  • Trading platforms

Session 10 – Hedging

  • FRAS and Futures
  • Futures strips
  • Swaps / OIS
  • Options
    • Black Scholes
    • Caps and collars
    • Exchange traded vs. OTC
  • Cash instruments
    • Cost of shorting
    • Basis risk


Participants will

– test their understanding of treasury mechanics by calculating futures/FRA pricing, swap pricing, and the cost of carry of a short position

– form teams to construct hedges and monitor their performance over a period of volatility, using real situations and historic data

Day 3

Liquidity and Treasury Operating Model

Session 11 – Managing Liquidity Risk

  • Diversification and concentration
    • Stability and sustainability of funding sources
    • Central banks
    • Collateral management
  • Measurement metrics and monitoring
    • Key metrics
    • Basel III: liquidity coverage ratio, net stable funding ratio
    • Scenario and back testing
  • Limits
    • Types and use
    • Reporting
    • Sanctions
  • Internal funds transfer pricing
    • Charging for liquidity
    • Building a curve
    • Setting policy
  • Liquidity asset buffer
    • Choosing appropriate assets
    • Managing the portfolio

Session 12 – Treasury structure

  • Role and responsibilities
  • Utility or profit centre?
  • Capital allocation: treasury as an agent of change

Session 13 – Trading and funding policy

  • Objectives
  • Risk appetite and tolerance that suits the institution

Session 14 – ALCO

  • Oversight
  • Information flow: communication and interaction
  • Contingency planning and recovery

Session 15 – Regulation and Proprietary Trading

  • Ring fencing
  • Where is the line between market making and prop trading?


Participants will:
– calculate liquidity risk gaps and ratios from modified balance sheets, and evaluate the liquidity profile and adherence to limits
– analyse case studies of notable treasury risk management failures, with special attention to policy and procedure, funding sources, limit enforcement, risk measurement, and supervisory reporting

End of Programme

To find out a more detailed biography of the trainer, please fill in the brochure request.

Number of DelegatesPrice per Delegate
1£2295 GBP
2£2095 GBP
3£1895 GBP

The venue of the training is always in a centrally located 4-5 star hotel. The venue is confirmed 2 weeks before the programme once registration is closed and we know the exact number of delegates attending. We have exclusive rates with the hotel, if you require accommodation during the programme.

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‘A great training, with each topic covered in great depth. The handouts and materials are excellent’