TREASURY RISK CRASH COURSE
March 2010

The one day Treasury Risk workshop in Dubai is now scheduled for the 18th of March 2010 at the Dusit Thani in Dubai.

Download the nomination form for the workshop here.

Here are the key topics that will be covered during the one day workshop

• First, to view trends from a much broader perspective, in general the practical as opposed to the quant/ data way to view distributions (effectiveness, behaviour, relationships).

• Second, what really happens when model price match market prices, especially in illiquid markets.

• Third, the difference between economic capital, regulatory capital and loss capital.
  
  
• Fourth, linking Value at Risk limits to Stop loss limits and linking stop loss limits to book size and risk appetite.
  
  
• Fifth, the second definition of Convexity, the fact that asset prices tend to rise by more and fall by less when interest rates change and the criteria for asset liability management and hence asset selection based on convexity (convexity of assets > convexity of liabilities).
  
  
• Sixth, the allocation of portfolio assets by ALM criteria (duration and convexity)
  
  
• Seventh, the basics behind calculations of Potential Future Exposure (PFE) and Pre-Settlement Risk (PSR) for different derivative products and making these numbers work with counterparty limits.

For more details on the workshop, please click here.