Treasury Risk Management

4 days 17-20 Sep 2018, London UK £4,195.00 + VAT* Download brochure Add to basket

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Treasury is at the heart of every banking and financing operation.  Ensuring liquidity must be the top priority, as the fundamental survival of any institution depends on it. Market, interest rate, and operational risk can never be eliminated, but instead must be measured, monitored, and controlled to ensure profitability. In managing risk, treasury professionals utilise the full array of funding and hedging instruments to respond to changing balance sheet and market scenarios.  Sound treasury risk management is possible only through an effective and efficient governance and policy structure, with senior management fully engaged with the Asset Liability Committee (ALCO).

By the end of this program, participants will be better able to:

  •  Analyse and assess the different types of risks arising from the assets and liabilities on the  balance sheet
  • Use and understand the basic tools to measure risk and its sensitivity to changing market conditions
  • Know which funding instruments and hedging strategies are available and when to best put them into practice
  • Evaluate the extent of liquidity risk exposure in a bank, via the application of a full suite of liquidity risk metrics
  • Understand liquidity buffers and their management
  • Appreciate liquidity risks beyond basic loans and deposits
  • Evaluate the appropriate level of liquidity risk controls, with the consequences for lending;
  • Grasp the formulation and value of stress tests
  • Understand the concept of internal funds transfer pricing and evaluate the appropriateness of a particular model to any type of institution
  • Formulate a range of funding policies for the banking and trading books
  • Understand the role and influence of the  Asset Liability Committee (ALCO) of a bank, and its appropriate governance framework



We work with a series of expert instructors, please select the course location of interest to review the credentials of who will be delivering the programme.

Thierry Fuller

Thierry is a highly experienced trainer and consultant in Treasury
management. Since 1997 he has worked as a consultant and trainer with the Top Three Investment Banks in the World (Goldman Sachs, Morgan Stanley, BofA Mer-rill Lynch), most of the largest 20 Banks in the World (Citi, J.P. Morgan Chase, Stanchart, BBVA, ABN AMRO , Commerzbank etc...) , all Top 4 Audit/Tax Accounting Firms, commodity trading company and other prestigious financial institutions. Recently, he has worked with Central Banks (such as Bank Indonesia) in the area of trading room risk management, regulation, supervision and Basel 2/3 implementation and with emerging market banks in Mexico, Brazil, Hong Kong, Malaysia, Singapore, Indonesia and Thailand in corporate transformation and risk management.

His banking experience includes developing and managing the Capital Markets and Derivatives businesses for Wachovia Banks, America’s fourth largest bank at the time. He also led the development of the risk management operations and infrastructure for the trading room. His banking experience also includes working in corporate finance/investment banking, especially concerning M&A for financial institutions, and asset management at Brown Brother Harriman in New York. He has also worked as a management consultant at McKinsey & Company in
strategic consulting and organizational changes for banks. He has also worked in the Corporate Finance/Treasury Consulting Practice at KPMG in New York where trading, risk management, auditing and compliance where high priority.

He was a Joseph Lauder Fellow at the Wharton School where he received his MBA. He also graduated with an MA in International Studies and an MA in Political Science from the University of Pennsylvania. The Course Director completed his undergraduate studies at Columbia University.



Central London Hotel Venue

All courses are held at four or five star venues in Central London, Zone 1. We strive to provide you with a training environment of the highest quality, to ensure that the whole learning experience exceeds your expectations.

Your training venue will be confirmed by one of our course administrators approximately 3-4 weeks before the course start date. If you need help booking accommodation for your visit to our training courses, please contact and one of our partners will help you get the best rate possible.

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Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company's exact requirements? If you'd like to do either of these, we can bring this course to your company's office. You could even save up to 50% on the cost of sending delegates to a public course.

To find out more about running this course in-house:

Our Tailored Learning Offering

If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

We produce learning solutions that are completely unique to your business. We'll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.


We can offer any of our public courses delivered at your office or we can devise completely tailored solutions:

Read more about our offering or complete a call back request to speak to a learning specialist.



Day 1

Interest Rate, Market, and Operational Risk

Introduction to Risk and Risk Management in the Treasury

Interest Rate Risk

Earnings at Risk
Net interest income: what’s at stake
Types of interest rate risk:

  • Gap
  • Yield curve
  • Duration and Convexity
  • Optionality
  • Basis

Mark-to-market and portfolio valuation

Risk Measurement and Sensitivity

Basis point values
Value at Risk (VaR):

  • Parametric, Non-Parametric and Monte Carlo models
  • Confidence levels
  • Limitations
  • Back Testing

Risk Management Limits

Types and use
Risks and regulatory oversight:

  • Standardized
  • Internal Model
  • Basel 2.5 Stressed Var
  • Economic and Regulatory Capital

Operational Risk

  • Identifying the range of risks
  • Controls and improving processes
  • Approaches to modelling: frequency and severity
  • Capital requirements

Exercise: Participants will perform interest rate gap and risk analysis on hypothetical asset/liability management positions, assess overall risk, and make funding decisions.

Day  2

Funding Instruments and Hedging

Money Market Funding Instruments

  • Cash management
  • Deposits, CDs/CP, repo
  • FRA and Futures in Money Market
  • Exchange Traded and OTC instruments
  • Market characteristics: size, liquidity, investors

Term Issuance

Structuring debt programs

  • Market selection
  • Legal framework, listings
  • Features: fixed/floating,

Basel III capital rules

  • Additional Tier I and II, CoCos
  • Securitisation


  • Settlement risk
  • Exchange controls
  • Trading platforms
  • Forward and FX futures


  • Interest Rate Swaps
  • Options
    - Black Scholes
    - Caps, collars and floors
    - Participating Cap

Exercises: Participants will
-test their understanding of treasury mechanics by calculating futures/FRA/Forward FX pricing, swap pricing,
-Determine pricing of caps/collars and floors
-form teams to construct hedges and monitor their performance

Day 3


Managing Liquidity Risk

Define Liquidity Risk
Diversification and concentration:

  • Stability and sustainability of funding sources
  • Central banks
  • Collateral management

Measurement metrics and monitoring:

  • Key metrics
  • Basel III: liquidity coverage ratio, net stable funding ratio
  • Scenario and back testing


  • Types and use
  • Reporting
  • Sanctions

Internal funds transfer pricing

  • Charging for liquidity
  • Building a curve
  • Setting policy

Liquidity asset buffer

  • Choosing appropriate assets
  • Managing the portfolio

Exercise: Participants will:
-calculate liquidity risk gaps and ratios, and evaluate the liquidity profile of a bank
-develop an internal fund transfer pricing policy for a bank
-Case Study:  Northern Rock

Day  4

Treasury Risk Management Operating Model

Treasury structure

  • Role and responsibilities
  • Utility or profit centre?
  • Capital allocation: treasury as an agent of change

Trading and funding policy

  • Objectives
  • Risk appetite and tolerance that suits the institution


  • Oversight
  • Information flow: communication and interaction
  • Contingency planning and recovery

Regulation and Proprietary Trading

  • Ring fencing
  • Where is the line between market making and prop trading?

Exercise:  Participants will analyse case studies of notable treasury risk management failures.  Special attention will be paid to policy and procedure, funding sources, management, limit enforcement, risk measurement, and supervisory reporting failures. Participants will propose and discuss risk management policies that could have produced markedly better outcomes.


Why us

We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

  • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
  • Track record – we have delivered training solutions for 95% of worlds’ top 100 banks and have trained over 250,000 professionals.
  • Knowledge – our 150 strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
  • Reliability – if we promise it, we deliver it. We have delivered over 20,000 events both in person and online, using simultaneous translation to delegates from over 180 countries.
  • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 96% on service and 95% on product