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





LiquidityBuilding ProxiesThe Different Types of Development InstitutionsThe Structure of a Development BankThe UnderlyingsFUNDING RISKTHE BASIC STRUCTURE OF A TRADITIONAL FINANCIAL INSTITUTIONRefinancing RiskPrivate and Public SidesNumerical Example: Estimating Reset RiskThe Objective of Even-Smaller Funding LevelsHedging a Credit-Linked Instrument Such as an Asset-Backed SecurityAPPENDIX F Replication Leading to Risk-Neutral ProbabilitiesDifferent Quotations and Different CurrenciesFUNDING AS AIM ASSET SWAP STRUCTUREThe Evolution of the Perception of Counterparty Credit RiskFAIR VALUE OF LOANS AND THE SPECIAL CASE OF DEVELOPMENT INSTITUTIONSInterest Rate and FX RiskRisk and Asset Liability ManagementBENCHMARKS FOR BORROWING ANR INVESTINGCross Currency Basis SwapsThe Long End of the Curve: Interest Rate SwapsI.2 FUNDING ISSUES AS CREDIT AND PRICING ISSUESHedging an Equity PositionSimilar CountriesTenor Basis SwapsPricing at RecoveryLendingEXPRESSING CREDIT EXPLICITLY WHEN PRICING A BONDDiscounting in the Presence of CollateralA BRIEF OVERVIEW OF CREDIT MODELINGCredit Default SwapsReset RiskAsset SwapsThe Case of Funding Level Higher Than ExpectedThe Impact of Discounting on Asset Swap LevelsLocking an Interest Rate PositionNUMERICAL EXAMPLE: ESTIMATING THE COUPON OF AN EMERGING MARKET DEBT INSTRUMENTCapital ControlCase Study: A Note on the LIBOR ScandalCurve ConstructionInvestingHEDGINGA FEW FUNDAMENTAL CONCEPTS OF THE BOND WORLDFUNDING LEVEL TARGETSDiscount Bonds and Cash DepositsCredit and the Fair Valuing of LoansLENDINGThe Argument around the Fair Valuing of LoansAn Introductory View to Banking, Development Banking, and TreasuryNUMERICAL EXAMPLE: CALCULATING THE FAIR VALUE UF A LOANThe Special Case of AAA-Rated InstitutionsRural Development in XA REPRESENTATION OF THE CAPITAL FLOW IN A FINANCIAL INSTITUTIONTreasury RevisitedDevelopment of Textile Exports in YInterest Rate Futures and Forward Rate AgreementsILLIQUID BONDSHedging a Foreign Currency Bond or LoanWHAT IS A BOND?CreditI.4 THE STRUCTURE OF THE ROOKParValuation in the Absence of Dynamic HedgingDurationThe Bootstrapping of a Hazard Rate CurveThe Case of Funding Level Lower Than ExpectedWHAT DO WE MEAN BY CURVE CONSTRUCTION?Constructing a CDS-Implied Credit Framework for Bond PricingYieldPrepayment Option and the Case of Development InstitutionsThe Case of Constant Funding LevelHedging a Fixed or Structured BondAPPENDIX B CDS Spreads and Default ProbabilitiesSimilar CompaniesMaturityNUMERICAL EXAMPLE: BOOTSTRAPPING AN INTEREST RATE CURVEAPPENDIX C Modeling the Credit-Driven Prepayment Option of a LoanThe Treasury DeskUSING MULTIPLE INSTRUMENTS TO BUILD A CURVEAPPENDIX A Implying Zero Rates from FX Forward QuotesBenchmarks and z-SpreadsFX ForwardsBORROWINGBond PricingThe Case of Quasi Government EntitiesInterpolation and ExtrapolationTHE FUNDAMENTAL DIFFERENCES DETWEEN INVESTMENT RANKING AND DEVELOPMENT RANKINGBorrowingHazard Rates and a Spread-Based Modeling of CreditThe Unhedgeable Nature of the Discount Spread ФTHE ISSUE OF LEVERAGEMANAGING RISK RELATED TO FINANCIAL ORSERVARLESTHE INSTRUMENTS AVAILABLE FOR CURVE CONSTRUCTIONEmerging Markets and LiquidityTHE DEFINITIORI OF EMERGING MARKETSAPPENDIX E The Impact of Discounting on an Asset Swap SpreadAbout the Web SiteEMERGING MARKETS AND DEVELOPMENT RANKINGInterest Rate SwapsBasis SwapsCredit RiskTHE MAIN ISSUES WITH EMERGING MARKETSAcknowledgmentsRisk Neutrality and the Meaning of HedgingCollateral in a Foreign CurrencyCASE STUDIES OF DEVELOPMENT PROJECTSSales and Trading DesksThe Case of Missing MaturitiesClearing, the Evolution of a Price, and the Impact of DiscountingINVESTING AND ALMHedging a Fixed-Rate LoanDEVELOPMENT BANKINGNumerical Example: Estimating Refinancing RiskCase Study: The Default of GreeceOvernight Index SwapsCREDIT AS AN ASSET CLASSFunding Gap RiskBorrowingTHE IMPLEMENTATION OF THE BOOTSTRAPPING OF AN INTEREST RATE CURVECOLLATERALIZED CURVE CONSTRUCTIONStatic and Dynamic HedgingI.3 TREASURY FINANCE AND DEVELOPMENT BANKINGTHE IMPLEMENTATION OF THE BOOTSTRAPPING OF A HAZARD RATE CORVEThe Short End of the Curve: Deposits and FRAsAsset Swaps RevisitedAPPENDIX D The Relation between Macaulay and Modified DurationsDifferent Funding Levels for Different Types of Debt
 
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