Corporate Treasury Management: Treasury Analytics - Online

The concept of yield curve analysis, different analytical techniques like duration, convexity and basis point value, which form the basis for understanding the overall risk measurement framework are the elements of this course group. The practioner is introduced to the Value-at-Risk (VaR) methodology to measure risks.

This is an online self study course that can be globally accessed 24/7 from any internet enabled computer. Access is for 91 days. Students successfully passing the course will be awarded a completion certificate.

Available TodayOnlineUSD$150
Instructional Method:
Self-Study
Level: Intermediate

ICB CREDITSICPAS CREDITS
7.53
Corporate Treasury Executives, FX & Money Market Managers, CFOs, Treasury back office personnel, auditors and Accountants, regulators, fund managers.
Students will be able to:
  • Understand the concept of yield curve analysis
  • Explain different analytical techniques like duration, convexity and basis point value
  • Understand the overall risk measurement framework
  • Understand the Value-at-Risk (VaR) methodology
Essentials of the U.S Capital markets or equivalent knowledge of capital markets
  • Corporate Treasury Management: Interest Rate Risk Management - Online
  • Corporate Treasury Management: Funding and Investments - Online
  • Corporate Treasury Management: Implementation - Online
  • Corporate Treasury Management: Case Studies - Online
    • Treasury Management – Scope and Importance
    • What is Treasury Management?
    • Structure of Treasury Management
    • Functions of Treasurer and Controller
    Duration: 1 hour

    Overview of Risk Management
    • Concept of Risk
    • Risk Management Process
    • Determination of Business Objectives
    • Identification of Risks
    • Measurement of Risk
    Duration: 1 hour

    Yield Curve Analysis
    • Concept of Yield Curve and its Types
    • Various Theories under Yield Curve Analysis
    • Types of Interest Rates and their Computation
    • Bond Arbitrage Strategies
    • Yield Interpolation
    • Applications of Yield Curve Analysis
    Duration: 1.5 Hours

    Duration
    • Concept of Duration and Modified Duration
    • Computation of Duration for different types of bonds
    • Relationship between duration, yield, coupon and maturity
    • Duration of a Portfolio
    Duration: 1 Hour

    Basis Point Value (BPV)
    • Concept of Basis Point Value
    • Relationship between BPV, Duration and Modified Duration
    • BPV for On-Balance Sheet items
    • BPV for Off-Balance Sheet items
    • BPV of a Portfolio
    Duration: 1 Hour

    Convexity
    • Concept of Convexity and its Properties
    • Convexity of a Portfolio
    • Impact of price change on convexity
    • Positive and Negative Convexity
    Duration: 2 Hours

    Value-at-Risk
    • Concept of Value-at-Risk
    • Ways of expressing VaR
    • VaR Calculation
    • VaR Conversion
    • -One confidence to another
    • -One horizon to another
    • VaR Methods
    • -Historical Simulation
    • -Monte Carlo Simulation
    • -Variance-Covariance Method
    Duration: 1 Hour

    Job Aids & Take-aways
    • Measurement Tools
    • Disclosures
    • Scope and Structure of FX and Derivatives Markets
    • Global Best Practices
    • Policy Templates
    • Regulations

    Calculators
    • American / European Quotes
    • Spot Cross Rates
    • Calculating Forward Rate
    • Forward Cross Rates
    • Pricing Currency Futures - Continuous Compounding
    • Pricing Currency Futures - Daily Basis
    • Valuation of Generic Currency Swaps
    • NPV of Currency Cash Flow in a Swap
    • Operating Exposure
    • Current / Non-current Method
    • Monetary/Non-monetary Method
    • Temporal Method
    • Current Rate Method
    • Money Market Hedge
    • Forward Market Hedge
    • Break Forward
    • Range Forward
    • Participate Forward
    • Duration
    • Duration of Portfolio

    More Calculators

    • Convexity
    • BPV of a Bond
    • BPV of a Portfolio
    • BPV of a Forward Rate Agreement
    • BPV of a Coupon Paying Bond
    • Yield Curve Interpolation
    • Calculation of FRA settlement
    • Pricing T-Bond futures contract
    • Options on Futures
    • Options on LIBOR
    • Swaptions
    • Pricing interest rate swap
    • Confidence Level for a given Standard Deviation
    • Standard Deviation for a given Confidence Level
    • VaR Moving from one Confidence Level to Another (required period and Confidence level)
    • VaR - Variance Covariance Method
    • Value at Risk for Different Weights
    • Calculation of discount and price -bill of exchange
    • Price of a Discount Instrument
    • Price of a Commercial Paper

    Calculators continued

    • Money Market yield / Cash Price of CD
    • Yield - Bill of Exchange
    • Portfolio Risk and Return (when covariance and returns of assets NOT given)
    • Portfolio Risk and Return (when covariance and returns of assets is given)

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