Training Interest Rate Risk

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.

Course content

  • 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”