Curriculum
- 4 Sections
- 24 Lessons
- 1 Day
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- Treasury Foundations & Market Architecture6
- 1.1Structure of a modern bank treasury: ALM, markets, trading, and sales
- 1.2Money market instruments: Call money, repos, CBLO/tri-party repo
- 1.3Benchmark rates, yield curves, discounting methods
- 1.4Liquidity management fundamentals: CRR, SLR, LCR, NSFR
- 1.5Interest rate movements: Drivers, term structure behaviour, and macro influence
- 1.6FX market basics: Spot, forwards, swap points, arbitrage alignment
- Instruments, Pricing, Risk Measures & Balance Sheet Impact6
- 2.1Fixed-income instruments: T-bills, G-Secs, SDLs, corporate bonds
- 2.2Pricing fundamentals: YTM, duration, convexity, forward rate extraction
- 2.3FX derivatives overview: forwards, options, swaps (with payoff logic)
- 2.4Interest rate derivatives: IRS, OIS, caps/floors, FRA
- 2.5Risk measurement: PV01, DV01, VaR, duration gap, basis risk
- 2.6Understanding ALCO decision inputs: Liquidity gap reports, interest rate gap statements
- Real-World Treasury Cases, Market Events & Decision Frameworks7
- 3.1Case Study 1 – Liquidity Stress Management
- 3.2Case Study 2 – Bond Portfolio MTM Shock
- 3.3Case Study 3 – FX Exposure Advisory for a Corporate Client
- 3.4RBI intervention patterns and their implications
- 3.5Funding cost optimisation using swap markets
- 3.6Interpreting volatility spikes during macro events
- 3.7Managing basis mismatches across books
- Treasury Operations Simulation, Pricing Exercises & ALCO Decision Lab5
- 4.1Bond Pricing & MTM Exercise: Compute price sensitivity under multiple yield shifts
- 4.2Liquidity Allocation Drill: Allocate funds across call money, repo, T-bills, and CPs to meet LCR/NSFR constraints
- 4.3FX Forward Pricing Simulation: Construct forward rates using swap points, then interpret payoff behaviour
- 4.4ALCO Simulation: Teams recommend rate actions, liquidity strategy, and portfolio positioning using synthetic bank data
- 4.5Hedge Suitability Identification: Classify exposures and match them with appropriate interest rate or FX instruments