The Global Leader In

Audit and Information Security Training

Auditing
the Treasury Internal Audit

Function
Understand the control environment and 4 day course:
provide audit plans for your Treasury 2-5 June
operations
15-18 December
London

Course Director

Mark J Dougherty
A Banker, Big Four Certified Accountant
and Senior Corporate Governance and
Risk Management Professional with over
20 years financial services experience.

The role and structure of treasury in the corporation/bank

n 
n The audit of interest rate & foreign exchange risk management
n The audit of asset and liability management
n The audit of liquidity risk management
n The audit approach for sophisticated instruments
n Auditing the measurement of interest rate and currency exposure
n Auditing and analysing different kinds of risk
n Understanding and auditing different risk management instruments
n Understanding and auditing controls operation in the treasury environment

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Auditing Course focus and features
This intensive training course is designed to offer treasury
auditors, whether in corporations or financial institutions, a

the Treasury
thorough coverage of the techniques available of the modern
treasury management and its audit. The complexity of cash
management in modern financial markets has placed much
more emphasis on the treasury function. This not only involves

Function
keeping control over increasingly complex interest rate and
currency exposures, but also keeping abreast of the latest
techniques for managing those risks whilst effectively managing
the funds of the institution.

Understand the control environment and Learning Objective

provide audit plans for your Treasury The key benefits will be that participant will systematically review
operations all elements of a treasury operation and consider the nature of the
control environment that should be applied, leading to development
of the audit programmes suitable to the firm. Key issues to be
addressed will include:

• The role and structure of treasury in the corporation/bank

Course Director • The audit of interest rate & foreign exchange risk management

Mark J Dougherty • The audit of asset and liability management

Mark Dougherty, is a Banker, Big Four Certified Accountant and Senior • The audit of liquidity risk management
Corporate Governance and Risk Management Professional with over
20 years financial services experience, particularly fourteen years in • The audit approach for sophisticated instruments
Risk Management leading all aspects of Credit, Market, Liquidity and
Operational Risks initiatives for multi-billion dollar banks and financial • Auditing the measurement of interest rate and currency exposure
institutions, and insurance (General and Life).
• Auditing and analysing different kinds of risk
He has held senior management positions within the banking,
accountancy and insurance profession as an internal auditor (Canadian • U
 nderstanding and auditing different risk management
Imperial Bank of Commerce) and has extensive financial institutions instruments
experience in the UK and Europe, the West Indies, Asia, Canada and
the United States. • U
 nderstanding and auditing controls operation in the treasury
Mark started his career in financial services with a mandate to upgrade
environment
the internal audit function in an internationally active bank. This role
required establishing new audit standards and practices, training Methodology
of audit staff globally, developing Risk-based audit programs and
managing numerous field audits in Treasury, Capital Markets and Retail The teaching method will include lectures, group discussions and the
Banking. development of audit programmes.
He has a successful track record in implementing regulatory initiatives
to establish industry-leading standards in Basel II, Sarbanes-Oxley Advanced Preparation: None
(SOX) in banking and insurance in Risk Management, as well as
Governance and Regulatory best practices such as methodologies, Training Type: Group-Live
models, systems, policies and procedures, and Solvency II.
Learning Level: Basic
Mark’s Treasury experience includes risk oversight and policy setting
for Asset-Liability Committee, Funds Transfer Pricing (FTP), foreign Field of Study: Auditing
exchange, hedging and managing cash & liquidity.
Since 2007, Mark has worked in the UK and Europe as an independent Price: GBP £2,845 +VAT*
consultant for a number of financial services firms including Europe-
Arab Bank. *Delegates may be able to claim back VAT.
Visit www.mistieurope.com/VAT for more information.
His risk advisory services have included extensive training on improving
the effectiveness of risk management and dealing with the challenges
posed by changing regulation, especially for Risk and Capital CPEs: 30
Management under Basel II and Solvency II.
Mark is a member of the Canada-Russia Financial Working Group
(Banks and Financial Markets) and participated in the Basel II Working
Committee for Operational Risk.
He is a qualified accountant (CMA-Certified Management Accountant
(Canada) and International Associate (American Institute of Certified
Public Accountants-U.S.A.).

Telephone: Email:

+44 (0)20 7779 8202 [email protected]

Agenda
Auditing The Treasury – Identify, Auditing the Middle and Back Office • Traded financial futures and options
Analysing and Managing Risk • The pricing, modelling and risks of derivative
• The role of the Middle and Back Office activities
• The structure of a treasury function • The transaction cycle • The regulatory model risk requirements
• Front, middle and back office functions • Reconciliations and settlement • The documentation to support derivatives
• The treasurer’s role • Documentation and contracting activities
• What information would you require in advance of • The role of ISDA • Auditing in an ISDA environment
the audit? • Using and negotiating ISDA • The transaction cycle
• What are the skills you would need on the audit? • The role of the central counterparty • Confirmation and reconciliation
• How would you plan the audit? • Collateral management • The control over the use of derivatives
• Risk versus return and it’s impact on capital • Valuation and processing • Controls over trading activities
• Types of risk within a treasury area: when are they • Investigating issues • Limits, controls and excesses
addressed Case Study: Develop an audit programme to Case Study: Develop audit programme to address
- Credit address middle and back office processing the following
- Market Case Study: Develop an audit programme to • The use of derivatives
- Operational address collateral management • The use of models
- Liquidity Case Study: Develop an audit programme to • The audit of forward transactions
address ISDA issues
- Other Risks • The audit of futures transactions
• Identification analysis & control of risk Auditing Foreign Exchange and Foreign
• An introduction to key modelling approaches: Auditing the use of Swaps &
Exchange Risk Management Associated Products
- VAR
- Back testing • Types of transaction • The role of swaps
- Stress Testing • Spot transactions • Why are they important?
- Simulation • Forward transactions • Interest rate & currency swaps
Case Study: What should be in the audit planning • Yield curves and valuation issues • Swaptions
memorandum for the treasury audit? • Translation exposure • Analysing cash flows
• Currency options • Constructing the discount function
Auditing Asset & Liability Management
• Hedging decisions • Hedging with swaps
• The role of ALM • The risk in foreign exchange risk management • Swaps and the capital markets
• Relationship to risk management • Controls over foreign risk management • Basic swaps
• The role of the ALCO Case Study: Develop an audit programme to • Asset swaps
• Membership of the ALCO address the management of foreign exchange risk • How is the market likely to change?
• ALCO minutes Case Study: Develop an audit programme to Case Study: Develop audit programmes to address:
• Centralised or distributed treasury operations address the audit of foreign exchange transactions
• The use of swaps
• The role of the Treasurer • Interest Rate Swaps
Auditing Interest Rate Risk Management
• Reporting to ALCO • Currency Swaps
• Reporting from ALCO • The impact of liquidity on interest rates
• More complex transactions
Case Study: Develop an audit programme to • Gap analysis and the maturity ladder
address the audit of the ALCO • Types and uses of the gap analysis Rules Regulations and Stress
• Stress testing and the impact of rate shocks
Auditing Bank Capital Management • S ensitivity analysis, stress testing and scenario
• Simulation approaches modelling
• The role of ALCO in bank capital management • Duration • What can go wrong in the practice
• The impact on banks of changing regulations • Convexity adjustments • The impact of Northern Rock on your audit
• Managing Cash & Working Capital • Repo – financing and liquidity operations approach
• Liquidity Risk Management • The risk in modelling interest rate risk • The regulations of liquidity risk and treasury
• Forecasting Cash Flows • The controls over interest rate risk management
• Financing with Debt versus equity Case study: Develop an audit programme to • The role of the central counterparty
• Maturity Profiles address the management of interest rate risk • Counterparty credit risk
• Fixed versus floating • The use of ratings
Auditing the use of Money Market and
• The question of mismatches • Developing your own ratings
Other Asset Classes
• Hedging approached and cost • Calculating CVA
• The risks of capital management • The anticipated return • How will you judge what is material?
• Controls over bank Capital management • Overnight cash management • Where will audit concentrate
Case study: Develop an audit programme to • Use of the money markets Case study: Develop audit programmes to address
address bank capital management • Key asset classes the following:
• Asset securitisation • The audit of counterparty credit risk
Auditing the Dealing Room • High yield bond markets • The audit of stress testing and scenario modelling
• How are deals transacted • Other relevant asset classes • The audit of CVA calculations
• The Greeks • Acquisition due diligence
• Valuation techniques • Processing due diligence
Course review and closure
• Introduction to models • Suitability issues
• The importance of software Case Study: Develop an audit programme to
• Transaction recording address the use of money market and other asset
classes
• Ethics and policy
• Front end control systems Auditing the use of Derivatives, Forward
• Training and education Transactions and Corporate Governance
• The role of risk management
Case Study: Develop an audit programme to • The role of the Board and senior management
address controls in a dealing room environment • Knowledge and skills
• What is a derivative?
• The knowledge gap in audit
• Forwards and forward Rate Agreement (FRNs
and FRAs)

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