Content

The Treasury*Bank seminar focuses on measuring, reporting and managing the risks of derivatives and structured products. Teams of participants manage the bank‘s central interest book (overnight up to long-term, cash instruments, derivatives and structured products). They learn to increase the transparency of the interest book while paying attention to the new customer flows from daily business. The team with the best strategy wins this dynamic competition.

• The zero curve concept

• Pricing of derivative instruments with special emphasis on instruments with a term of over one year
  FRAs
  Futures
  Interest rate swaps
  Forward swaps
  Amortizing swaps
  Step-up swaps
  Balloon swaps

• Risk management
  Risk measurement methods – how they work and what they tell us, separation of interest, liquidity and credit risks using the VaR approach 
• Measurement of risk using the VaR approach

• Pricing and mapping of structured interest products
  Reverse floaters
  Zero bonds
  Constant maturity swaps (CMS)

• Managing the interest book
  Exploiting spread differences between instruments and markets
  Integrating spread risk into the risk limit system
  Yield curve trades in the capital market
  Convexity trades

Cyber*Preparation

• Financial mathematics for the money and capital markets
• Money market derivatives
• Bonds and bond futures
• Interest rate swaps
• Credit and market risk management

Target group

• Bond dealers, interest rate and derivatives traders
• Treasury and ALM managers
• Corporate bankers offering structured products
• Risk managers and risk controllers