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Home arrow Business & Finance arrow Treasury Finance and Development Banking

A short course of lectures
«Treasury Finance and Development Banking»





Case Study: A Note on the LIBOR ScandalThe Case of Funding Level Higher Than ExpectedTHE ISSUE OF LEVERAGEFunding Gap RiskDevelopment of Textile Exports in YAPPENDIX F Replication Leading to Risk-Neutral ProbabilitiesTHE FUNDAMENTAL DIFFERENCES DETWEEN INVESTMENT RANKING AND DEVELOPMENT RANKINGFUNDING LEVEL TARGETSReset RiskHEDGINGAbout the Web SiteFUNDING RISKThe Special Case of AAA-Rated InstitutionsHedging a Foreign Currency Bond or LoanINVESTING AND ALMRisk and Asset Liability ManagementWHAT DO WE MEAN BY CURVE CONSTRUCTION?Interest Rate Futures and Forward Rate AgreementsBuilding ProxiesClearing, the Evolution of a Price, and the Impact of DiscountingA FEW FUNDAMENTAL CONCEPTS OF THE BOND WORLDDifferent Funding Levels for Different Types of DebtThe Short End of the Curve: Deposits and FRAsUSING MULTIPLE INSTRUMENTS TO BUILD A CURVERisk Neutrality and the Meaning of HedgingThe Unhedgeable Nature of the Discount Spread ФCREDIT AS AN ASSET CLASSMaturityInvestingAPPENDIX B CDS Spreads and Default ProbabilitiesBORROWINGThe Bootstrapping of a Hazard Rate CurveHedging an Equity PositionSimilar CountriesOvernight Index SwapsInterpolation and ExtrapolationRefinancing RiskThe Objective of Even-Smaller Funding LevelsNUMERICAL EXAMPLE: BOOTSTRAPPING AN INTEREST RATE CURVEThe UnderlyingsPricing at RecoveryThe Case of Funding Level Lower Than ExpectedBond PricingBasis SwapsStatic and Dynamic HedgingDifferent Quotations and Different CurrenciesPrivate and Public SidesThe Case of Missing MaturitiesWHAT IS A BOND?EMERGING MARKETS AND DEVELOPMENT RANKINGRural Development in XCase Study: The Default of GreeceCapital ControlLocking an Interest Rate PositionAn Introductory View to Banking, Development Banking, and TreasuryAcknowledgmentsHazard Rates and a Spread-Based Modeling of CreditI.4 THE STRUCTURE OF THE ROOKLiquidityInterest Rate and FX RiskEmerging Markets and LiquidityFAIR VALUE OF LOANS AND THE SPECIAL CASE OF DEVELOPMENT INSTITUTIONSTHE IMPLEMENTATION OF THE BOOTSTRAPPING OF AN INTEREST RATE CURVEEXPRESSING CREDIT EXPLICITLY WHEN PRICING A BONDMANAGING RISK RELATED TO FINANCIAL ORSERVARLESCredit and the Fair Valuing of LoansCOLLATERALIZED CURVE CONSTRUCTIONCASE STUDIES OF DEVELOPMENT PROJECTSAPPENDIX C Modeling the Credit-Driven Prepayment Option of a LoanConstructing a CDS-Implied Credit Framework for Bond PricingCredit Default SwapsThe Impact of Discounting on Asset Swap LevelsNumerical Example: Estimating Refinancing RiskNumerical Example: Estimating Reset RiskInterest Rate SwapsCollateral in a Foreign CurrencyAsset SwapsThe Treasury DeskThe Evolution of the Perception of Counterparty Credit RiskThe Long End of the Curve: Interest Rate SwapsTHE IMPLEMENTATION OF THE BOOTSTRAPPING OF A HAZARD RATE CORVEAPPENDIX A Implying Zero Rates from FX Forward QuotesA BRIEF OVERVIEW OF CREDIT MODELINGDurationAsset Swaps RevisitedI.2 FUNDING ISSUES AS CREDIT AND PRICING ISSUESTHE BASIC STRUCTURE OF A TRADITIONAL FINANCIAL INSTITUTIONYieldFX ForwardsBorrowingTreasury RevisitedDEVELOPMENT BANKINGParThe Argument around the Fair Valuing of LoansAPPENDIX D The Relation between Macaulay and Modified DurationsThe Different Types of Development InstitutionsFUNDING AS AIM ASSET SWAP STRUCTUREThe Case of Quasi Government EntitiesDiscounting in the Presence of CollateralAPPENDIX E The Impact of Discounting on an Asset Swap SpreadI.3 TREASURY FINANCE AND DEVELOPMENT BANKINGLendingILLIQUID BONDSTHE INSTRUMENTS AVAILABLE FOR CURVE CONSTRUCTIONLENDINGThe Structure of a Development BankA REPRESENTATION OF THE CAPITAL FLOW IN A FINANCIAL INSTITUTIONTHE DEFINITIORI OF EMERGING MARKETSValuation in the Absence of Dynamic HedgingTenor Basis SwapsHedging a Fixed-Rate LoanPrepayment Option and the Case of Development InstitutionsCurve ConstructionCreditNUMERICAL EXAMPLE: ESTIMATING THE COUPON OF AN EMERGING MARKET DEBT INSTRUMENTCross Currency Basis SwapsBENCHMARKS FOR BORROWING ANR INVESTINGThe Case of Constant Funding LevelHedging a Fixed or Structured BondSales and Trading DesksTHE MAIN ISSUES WITH EMERGING MARKETSNUMERICAL EXAMPLE: CALCULATING THE FAIR VALUE UF A LOANCredit RiskBenchmarks and z-SpreadsSimilar CompaniesBorrowingHedging a Credit-Linked Instrument Such as an Asset-Backed SecurityDiscount Bonds and Cash Deposits
 
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