Treasury Products Workshop
Bayerische Hypovereinsbank AG
Presented by Professor Ian H. Giddy, New York University
Schedule
Day 1
- Treasury Products as Tools for Risk Management
- Risk management - the financial institution's viewpoint
- How Treasury Products fit in
- Portfolio theory and hedging of institutional investor risk
- Types of market risk
- Overview of the Workshop
- Interest Rate Risk Measurement
- Approaches to financial institution risk measurement
- Maturity
- Duration
- Convexity
- Case study
- An alternative approach: Repricing
- Tools for analyzing the yield curve
- Coupon bonds
- Zeroes: a method for valuation and sensitivity analysis
- Spot rates
- Forward interest rates
- Hands-on application
- Risk Management Tools: Mechanics and Linkages
- Cash markets
- Forward rate agreements (FRAs)
- Futures
- Swaps
- Caps, floors and collars
- Case study
- Focus: Interest Rate Swaps
- Structures of interest rate and currency swaps
- Pricing and quotations
- Credit aspects
- Applications
- Hands-on numerical application
- Evening: Darmstadt Dilemma Negotiation
Day 2
- Focus: Futures Contracts
- Definition and mechanics
- Relation to forward contracts
- Interpreting futures quotations
- Other futures: currency, index, commodities, etc.
- Case study
- A Roadmap for Interest Rate Hedging
- FRAs versus futures versus swaps
- Basis risk and minimum variance hedging
- Use of options
- Managing Risk with Option-Based Products
- Eurodollar puts and calls
- Mechanics of options
- Over-the-counter
- Exchange-traded
- Futures options
- Interpreting quotations
- Option pricing
- Binomial models
- Black-Scholes type models
- Others
- Importance of volatilily
- Delta hedging
- Case study/application
- Other options: stocks, index, currency, commodity, etc.
- Caps, Floors and Collars
- Link between caps and puts
- Link between floors and calls
- Cap-floor-swap parity
- Structuring collars
- Hands-on exercise
- Swaptions
- Definition and mechanics
- Applications
- Pricing
- Puttable vs callable swaptions
- Link to callable and puttable bonds
- Assignment
- Evening: Negotiating a Hedging Program for a Client
Day 3
- Managing the Risk of Hybrid Securities
- Investment instruments
- Funding instruments
- Warrant bonds
- Convertible bonds
- Callable bonds
- Hands-on application
- Structured Notes
- Medium-term notes: how they work
- Case study
- Managing Currency Risk for Institutional Investors
- Hedging the Currency Risk of International Bond Portfolios
- Hedging with Currency Swaps
- Hedging with Short Term Forwards or Futures
- Application
- Currency Risk in International Equity Portfolios
- Should an International Equity Portfolio be Hedged?
- Accounting vs. economic exposure
- Hedging Cash Flows
- Hedging Market Value
- Hedging with Conventional Options
- Hedging with Quanto Options
- Review and Summary of the Seminar
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