Prerequisites: Participants should have an understanding of financial instruments, financial markets, and interest rate mechanics either through Analyzing Bank Performance or experience. This is a difficult course that covers a number of complex concepts and requires an ability to deal with a variety of mathematical concepts and computations. Designed for individuals involved in asset liability management or line managers making pricing, investment, or funding decisions that impact interest rate risk.
An exploration of interest rate risk measurement techniques such as GAP, earnings sensitivity analysis, Duration GAP and economic value of equity sensitivity analysis. Risk management policy implementation and how to change overall interest rate sensitivity through balance sheet adjustments or derivative contracts are discussed.
After successfully completing the course, you will be able to:
➢ Understand the mechanics of valuing cash flows including duration and price sensitivity
➢ Identify the determinants of the overall level of interest rates
➢ Use static GAP and duration GAP analysis to measure interest rate risk
➢ Assess the impact on interest rate risk of various pricing, investment, and funding decisions
➢ Use a range of derivatives to manage interest rate risk including futures, forwards, interest rate swaps, caps, floors, and collars
➢ Apply all of these concepts to the management interest rate risk in your own institution.
(Indicate your preferred start date in the note section of your order).
- November 1, 2021 – January 7, 2022