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Treasury Analytics

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Library of 7 Courses

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The concept of yield curve analysis, different analytical techniques like duration, convexity and basis point value, which form the basis for understanding the overall risk measurement framework are the elements of this course group.
The practioner is introduced to the Value-at-Risk (VaR) methodology to measure risks.

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  Course Details
Course Level and Number of Courses
Intermediate Level. Library of 7 Courses

Instructional Method
Dynamic, Interactive e-learning

Recommended Background
Familiarity with basic financial concepts

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  Library of 7 Courses
Corporate Treasury Management - Treasury Analytics
Time taken to complete each Course: Two - Three hours

1. Treasury Management – Scope and Importance

  • What is Treasury Management?
  • Structure of Treasury Management
  • Functions of Treasurer and Controller

2. Overview of Risk Management

  • Concept of Risk
  • Risk Management Process
  • Determination of Business Objectives
  • Identification of Risks
  • Measurement of Risk

3. Yield Curve Analysis

  • Concept of Yield Curve and its Types
  • Various Theories under Yield Curve Analysis
  • Types of Interest Rates and their Computation
  • Bond Arbitrage Strategies
  • Yield Interpolation
  • Applications of Yield Curve Analysis

4. Duration

  • Concept of Duration and Modified Duration
  • Computation of Duration for different types of bonds
  • Relationship between duration, yield, coupon and maturity
  • Duration of a Portfolio

5. Basis Point Value (BPV)

  • Concept of Basis Point Value
  • Relationship between BPV, Duration and Modified Duration
  • BPV for On-Balance Sheet items
  • BPV for Off-Balance Sheet items
  • BPV of a Portfolio

6. Convexity

  • Concept of Convexity and its Properties
  • Convexity of a Portfolio
  • Impact of price change on convexity
  • Positive and Negative Convexity

7. Value-at-Risk

  • Concept of Value-at-Risk
  • Ways of expressing VaR
  • VaR Calculation
  • VaR Conversion
    1. One confidence to another

    2. One horizon to another

  • VaR Methods
    1. Historical Simulation

    2. Monte Carlo Simulation

    3. Variance-Covariance Method


  • Measurement Tools
  • Disclosures
  • Scope and Structure of FX and Derivatives Markets
  • Global Best Practices
  • Policy Templates
  • Regulations

Calculators in Treasury Analytics - Treasury Management

1. American / European Quotes
2. Spot Cross Rates
3. Calculating Forward Rate
4. Forward Cross Rates
5. Pricing Currency Futures - Continuous Compounding
6. Pricing Currency Futures - Daily Basis
7. Valuation of Generic Currency Swaps
8. NPV of Currency Cash Flow in a Swap
9. Options strategies (Excel)
10. Operating Exposure
11. Current / Non-current Method
12. Monetary/Non-monetary Method
13. Temporal Method
14. Current Rate Method
15. Money Market Hedge
16. Forward Market Hedge
17. Break Forward
18. Range Forward
19. Participate Forward
20. Duration
21. Duration of Portfolio
22. Convexity
23. BPV of a Bond
24. BPV of a Portfolio
25. BPV of a Forward Rate Agreement
26. BPV of a Coupon Paying Bond
27. Yield Curve Interpolation
28. Calculation of FRA settlement
29. Pricing T-Bond futures contract
30. Options on Futures
31. Options on LIBOR
32. Swaptions
33. Pricing interest rate swap
34. Confidence Level for a given Standard Deviation
35. Standard Deviation for a given Confidence Level
36. VaR Moving from one Confidence Level to Another (required period and Confidence level)
37. VaR - Variance Covariance Method
38. Value at Risk for Different Weights
39. Calculation of discount and price -bill of exchange
40. Price of a Discount Instrument
41. Price of a Commercial Paper
42. Money Market yield / Cash Price of CD
43. Yield - Bill of Exchange
44. Portfolio Risk and Return (when covariance and returns of assets NOT given)
45. Portfolio Risk and Return (when covariance and returns of assets is given)

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