“At the close of each business day, tell me what the market risks are across all business and locations.” Dennis Weatherstone, J.P.Morgan
Treasury Risk Management Program (TRMP)
Summary
To provide the treasury professional with risk assessment and management techniques to apply to a range of products. It provides a review of methods which apply to representation of market data, their derivation and their use. A review of the various methods used to value risk sensitivity for all instruments is provided. Finally methods of aggregation and management of risk for each product are reviewed.
T.1. Building Blocks and Market Data
~Conventions in interest rates, valuation of cash flows, return estimation, numerical methods, statistical analysis, distributions
~Estimation of price and market volatilities
~Yield Curves, Foreign Exchange, Credit, Commodity and Inflation data
T.2. Product Risk Assessment
Risk assessment including price sensitivities is conducted for the following types of products.
~Money Market Products
~Interest Rate Products
~Interest Rate Derivatives
~Foreign Exchange Instruments
~Foreign Exchange Derivatives
~Cross Currency Interest Rate Swaps
~Mutual Funds
~Credit Derivative Swaps
~Securitisation Instruments
~Commodity Derivatives
~Inflation based Instruments
T.3. Aggregate Risk
Risk aggregation techniques are applied for both market and counterparty risk. These include the use of parametric, historical and monte carlo simulation.
~Parametric: Asset based, Disaggregated measures, Principal component based measures
~Historical: Standard and Weighted methods
~Monte Carlo Simulation: Brute force and Variance Reduction
~Extreme Value measures
To provide the treasury professional with risk assessment and management techniques to apply to a range of products. It provides a review of methods which apply to representation of market data, their derivation and their use. A review of the various methods used to value risk sensitivity for all instruments is provided. Finally methods of aggregation and management of risk for each product are reviewed.
T.1. Building Blocks and Market Data
~Conventions in interest rates, valuation of cash flows, return estimation, numerical methods, statistical analysis, distributions
~Estimation of price and market volatilities
~Yield Curves, Foreign Exchange, Credit, Commodity and Inflation data
T.2. Product Risk Assessment
Risk assessment including price sensitivities is conducted for the following types of products.
~Money Market Products
~Interest Rate Products
~Interest Rate Derivatives
~Foreign Exchange Instruments
~Foreign Exchange Derivatives
~Cross Currency Interest Rate Swaps
~Mutual Funds
~Credit Derivative Swaps
~Securitisation Instruments
~Commodity Derivatives
~Inflation based Instruments
T.3. Aggregate Risk
Risk aggregation techniques are applied for both market and counterparty risk. These include the use of parametric, historical and monte carlo simulation.
~Parametric: Asset based, Disaggregated measures, Principal component based measures
~Historical: Standard and Weighted methods
~Monte Carlo Simulation: Brute force and Variance Reduction
~Extreme Value measures