FX and Interest Rate Risk Management for Corporate

Introduction: Corporate Treasurers

• Analysis, identification and quantification of all activities exposed to FX and interest rate risks
• Optimisation of FX and interest rate risk management
• Find the best hedge in relation to your expectations
• Determine the necessary durations and proportions for a good hedging scheme
• Catalogue management and order management methods

Risk Management Tools: Plain Vanilla & Exotic Options

• Revision of the mechanics, behaviour and uses of plain vanilla and exotic FX options
• Quotation
• Sensitivities to price drivers: Greeks (delta, gamma, vega, theta, rho)
• Fundamentals of option valuation (binary options, barrier options, double barrier options, etc.)

Corporate FX Risk Management

• Difficulties in managing FX risk
• Defending a budgeted FX rate
• Trade flows and asset valuation

• Practical workshop

• Calculate the maximum loss, break-even rate, effective guaranteed rate and spot break-even rates of the major strategies

Corporate Interest Rate Risk Management

• Fixed rate optimisation
• Spot & forward interest rate curves
• Non-generic reference rates: Quanto, CMS

• Practical workshop

• Calculate forward rates on EXCEL™
• Behaviour and uses of caps/floors and swaptions

Implementation and Uses of Standard Structured Interest Rate Products

• Corridors, Reverse floaters, Callables, Range accrual, CMS spreads

• Practical workshop

• Build a structured product comparator on EXCEL™ in line with market expectations
• Using structured products according to treasury needs
• How to generate expectations
• Simulations and elaboration of strategies taking into account the impact of new accounting standards