Quantifying the interest rate risk you can’t escape
What will you gain?
A good understanding of the many aspects of interest rate risk. This course will teach you the concepts for evaluating the different aspects of interest rate risk with hands-on modelling. You will also develop an appreciation of the possible response to interest rate risk and the instruments used.
- Measuring interest rate risk
- The interest rate swap (IRS)
- The market value of an IRS
- How does it work in practice?
The following topics/subjects will be touched upon:
- Objectives of interest rate risk management
- Which aspects of interest rate risk should be managed?
- Evaluating interest rate risk
- Using sensitivity measures -Duration – Convexity
- Modelling the outcome using a simple spreadsheet model
“Small groups, easy to raise a question or comment”