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Comprehensive Treasury Risk Management


Objective: comprehensive 4-day programme to examine all aspects of IR and FX securities and derivatives from a theoretical as well as real world perspective and a full treatment of basics of conceptual and real world VAR for IR portfolios, including:

·    all machinery for IR/FX valuation including curve generation

·    through understanding of options valuation both "what the books say" and "what actually happens"

·    traditional as well as specific VAR methods (CVAR, HVAR, Monte Carlo VAR) couched in a Regulatory framework

·    what the difficulties are including VAR validity/verification, how traders can circumvent the limit reports, and how some instruments can "become" other instruments via uses/abuses

·    includes all of the "Treasury IR" material plus FX, as well as attention to advanced issues in many areas including term structure issues, complex derivatives, portfolios, and so forth

Audience: market professionals with at least 2-year experience

·     Management, treasurers,

·     Risk Management

Table of Contents

          1)     Overview: big picture introduction including what risk management is and is not, the basic tenants of the markets and valuation, as well as difficulties.

         2)      Markets/Products: a comprehensive treatment of IR/FX products from present value theory to securities and derivatives pricing, market convention curve generation, and risk management/position risk of IR/FX products in multi-currency settings (including IRP adjustment), as well as credit derivatives.

         3)      Options: comprehensive treatment of valuation under uncertainty and options pricing, including a clear distinction between risk-neutral (Black-Scholes) and outright positions.  The treatment includes coverage basic tools of valuation, exotic and term-structure problems, as well “reality impact” of theory vs. practice, and may include “advanced valuation concepts and tools”.

               Advanced: a wide variety of medium and complex options such as exotics, convertible, and embedded structures, and their implications in portfolio management.

        4)      VAR for Risk Management: examination of VAR concepts, tools, and methods for risk management and may additionally include to any extent coverage of Monte Carlo  (historical VAR), RiskMetrics (Covariance VAR), CreditMetrics (Covariance VAR), as well as treatment of VAR under IRP.  The section also included a “reality impact” chapter illustrating ways in which VAR may fail for reasons including lack of testing, trader “accounting arbitrage” and “product transmutation”.  This section may also include more advanced analyses for the assessment of “scenarios of scenarios” and VAR in isolation vs. an interactive environment.

          5)      Regulatory Issue: Review and examination of Regulatory principles and frameworks (Basle, CAD), and implications for limits reporting, and efficient operations.


850 Pages of comprehensive and extensively illustrated Handout Notes (see samples here)

Plus copies of relevant TG2 Books/e-Books

Note: Seminars can be tailored to your trading, risk, client, and systems needs.  Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard" list HERE)

    Get a Syllabus in more detail

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Last modified: July 25, 2011