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Treasury Valuation & Risk Workshop, (Two Days)
This practical workshop addresses the valuation and risk management issues associated with wholesale financial products. Increasingly regulatory standards and accounting practices require appropriate independent validation of price and risk data for dealing rooms. This workshop is designed for finance, middle office and administration staff and provides an introduction to the techniques associated with product valuation and risk management.
The course will cover:
Below is a summary of the workshop content. The content of each day has been placed in a logical sequence and emphasis will be placed on practical case study examples.
Introduction
Review of financial mathematics
Accounting techniques
Product valuation
Valuation methodologies
Problems with valuation
1. Interest rate swaps
2. Currency swaps
3. Interest rate futures
4. Fixed income securities
5. Floating rate notes
6. Interest rate options
7. Complex products
8. Where valuation has gone wrong
Main risks
Risk reporting
Measuring interest rate risk
Value at Risk
25th March 2017
Derivatives are traditionally valued by taking the expected future cash flows and then discounting them in accordance with interest rates to give today’s value (present value). Implicit is the assumption that the derivative contract will run to its contractual date and all the cash flows will be paid and received. However, in the real world this may not occur. The counterparty may default.
25th March 2017
XVA refers to several different valuation adjustments that may be applied to derivatives. These adjustments have come about because the 2007/8 crisis caused us to question traditional models used to value trades. For example, the Libor based yield curve became significantly higher than a curve based on a “risk free” rate like the overnight index swap curve. The adjustments include: