Course Length: 8 weeks
This course provides participants with the tools to measure and manage their bank's interest rate risk.
Managing Interest Rate Risk is a rigorous course designed for individuals involved in asset liability management or line managers making pricing, investment, or funding decisions that impact interest rate risk.
After successfully completing this program, 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 analysis to measure interest rate risk
- Use duration gap 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 of interest rate risk in their own institution
$875 - Members
$1,125 - Non-members