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Home arrow Business & Finance arrow Treasury Finance and Development Banking

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





Emerging Markets and LiquidityNumerical Example: Estimating Reset RiskTreasury RevisitedInterpolation and ExtrapolationCase Study: A Note on the LIBOR ScandalNUMERICAL EXAMPLE: CALCULATING THE FAIR VALUE UF A LOANMANAGING RISK RELATED TO FINANCIAL ORSERVARLESRural Development in XTHE INSTRUMENTS AVAILABLE FOR CURVE CONSTRUCTIONAsset SwapsFunding Gap RiskPrivate and Public SidesCollateral in a Foreign CurrencyConstructing a CDS-Implied Credit Framework for Bond PricingThe Unhedgeable Nature of the Discount Spread ФAPPENDIX D The Relation between Macaulay and Modified DurationsBORROWINGLocking an Interest Rate PositionMaturityINVESTING AND ALMI.4 THE STRUCTURE OF THE ROOKThe Long End of the Curve: Interest Rate SwapsTHE DEFINITIORI OF EMERGING MARKETSCreditRisk Neutrality and the Meaning of HedgingInvestingHedging a Foreign Currency Bond or LoanAn Introductory View to Banking, Development Banking, and TreasuryPricing at RecoveryFAIR VALUE OF LOANS AND THE SPECIAL CASE OF DEVELOPMENT INSTITUTIONSUSING MULTIPLE INSTRUMENTS TO BUILD A CURVESimilar CountriesBorrowingAPPENDIX A Implying Zero Rates from FX Forward QuotesDifferent Quotations and Different CurrenciesRefinancing RiskPrepayment Option and the Case of Development InstitutionsA BRIEF OVERVIEW OF CREDIT MODELINGAcknowledgmentsNUMERICAL EXAMPLE: BOOTSTRAPPING AN INTEREST RATE CURVEThe Case of Funding Level Lower Than ExpectedBenchmarks and z-SpreadsThe Impact of Discounting on Asset Swap LevelsI.2 FUNDING ISSUES AS CREDIT AND PRICING ISSUESAPPENDIX E The Impact of Discounting on an Asset Swap SpreadLENDINGThe Short End of the Curve: Deposits and FRAsThe Argument around the Fair Valuing of LoansI.3 TREASURY FINANCE AND DEVELOPMENT BANKINGThe Case of Funding Level Higher Than ExpectedCapital ControlSimilar CompaniesTHE IMPLEMENTATION OF THE BOOTSTRAPPING OF A HAZARD RATE CORVETHE BASIC STRUCTURE OF A TRADITIONAL FINANCIAL INSTITUTIONA FEW FUNDAMENTAL CONCEPTS OF THE BOND WORLDOvernight Index SwapsInterest Rate and FX RiskHedging a Credit-Linked Instrument Such as an Asset-Backed SecurityWHAT DO WE MEAN BY CURVE CONSTRUCTION?YieldWHAT IS A BOND?BorrowingFUNDING LEVEL TARGETSThe Structure of a Development BankDifferent Funding Levels for Different Types of DebtCREDIT AS AN ASSET CLASSAsset Swaps RevisitedDEVELOPMENT BANKINGDurationILLIQUID BONDSAPPENDIX C Modeling the Credit-Driven Prepayment Option of a LoanThe UnderlyingsThe Treasury DeskFUNDING RISKInterest Rate Futures and Forward Rate AgreementsThe Special Case of AAA-Rated InstitutionsA REPRESENTATION OF THE CAPITAL FLOW IN A FINANCIAL INSTITUTIONHazard Rates and a Spread-Based Modeling of CreditThe Different Types of Development InstitutionsRisk and Asset Liability ManagementTHE ISSUE OF LEVERAGETHE MAIN ISSUES WITH EMERGING MARKETSThe Objective of Even-Smaller Funding LevelsThe Case of Quasi Government EntitiesCredit and the Fair Valuing of LoansInterest Rate SwapsDiscount Bonds and Cash DepositsThe Bootstrapping of a Hazard Rate CurveLiquidityHedging a Fixed-Rate LoanTHE IMPLEMENTATION OF THE BOOTSTRAPPING OF AN INTEREST RATE CURVEEMERGING MARKETS AND DEVELOPMENT RANKINGAPPENDIX F Replication Leading to Risk-Neutral ProbabilitiesParAbout the Web SiteHEDGINGLendingCurve ConstructionFUNDING AS AIM ASSET SWAP STRUCTURECredit Default SwapsBasis SwapsValuation in the Absence of Dynamic HedgingHedging an Equity PositionCase Study: The Default of GreeceThe Case of Constant Funding LevelBuilding ProxiesCOLLATERALIZED CURVE CONSTRUCTIONDiscounting in the Presence of CollateralTHE FUNDAMENTAL DIFFERENCES DETWEEN INVESTMENT RANKING AND DEVELOPMENT RANKINGCASE STUDIES OF DEVELOPMENT PROJECTSAPPENDIX B CDS Spreads and Default ProbabilitiesBENCHMARKS FOR BORROWING ANR INVESTINGFX ForwardsClearing, the Evolution of a Price, and the Impact of DiscountingNUMERICAL EXAMPLE: ESTIMATING THE COUPON OF AN EMERGING MARKET DEBT INSTRUMENTCredit RiskThe Case of Missing MaturitiesHedging a Fixed or Structured BondEXPRESSING CREDIT EXPLICITLY WHEN PRICING A BONDReset RiskThe Evolution of the Perception of Counterparty Credit RiskCross Currency Basis SwapsNumerical Example: Estimating Refinancing RiskDevelopment of Textile Exports in YSales and Trading DesksBond PricingStatic and Dynamic HedgingTenor Basis Swaps
 
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