Measuring, Managing and Monitoring Interest Rate Risk

IFF Training

How long?

  • 3 days
  • in person

What are the topics?

IFF Training

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About the course

Attend this intensive two-day training course and develop a deep understanding of:

  • Current best practices regarding the management of interest rate risk
  • Vital quantitative tools and metrics relating to the anticipation and mitigation of adverse developments in the interest rate environment
  • Models that can be used for forecasting future direction of benchmark interest rates
  • Quantitative methods for modelling changes in the term structure of interest rates
  • The longer-term consequences of unorthodox policies (such as QE and negative interest rate policies) for treasury functions
  • How to monitor money market spreads and volatility as precursors of changes in liquidity conditions
  • The tools that are vital for stress testing and assessing the impact of adverse scenarios on the capital base and future earnings of an enterprise
  • The regulatory framework – Basel III and other public policy measures – that pertain to the management of interest rate risk
  • The dynamics of inflationary and deflationary forces in the global economy
  • How to address unorthodox monetary policies and negative interest rates
  • Future regulatory directions with respect to Interest Rate Risk in the Banking Book (IRRBB)

How You Will Learn

Packed with real-life practical case studies, keeping the course up-to-date

Exercises include; Excel models which permits the calculation of key bond metrics; Excel model to illustrate how Fed Funds futures can be used to estimate probabilities of decision by the Federal Open Market Committee (FOMC); Application of actual stress testing techniques applied to duration characteristics of a balance sheet Funds Transfer Pricing (FTP)

Case studies include: The Taylor rule as an alternative to judgement based monetary policy; Excel model illustrating duration gap measurement and impacts of changing the duration characteristics; Risks of prolonged period of ultra-low interest rates in developed economies; FTP as cornerstone of balance sheet and liquidity risk management

Agenda Summary

  • Interest Income Metrics
  • Mark to Market Risks for Income Assets and Funding Instruments
  • Interface of Money Markets and Foreign Exchange
  • Central Banks and Monetary Policy
  • Duration Gap Risk Management
  • Quantitative Easing (QE) and Negative Interest Rates (NIR)
  • Interest Rate Swaps
  • Funding Instruments and Hedging
  • Models for Interest Rate Forecasting
  • Stress Test Methods for Treasury
  • Interest Rate Risk in the Banking Book (IRRBB)

Experts

Clive Corcoran

Clive Corcoran has been engaged in the finance and asset management sectors, on both sides of the Atlantic, for more than 25 years. After completing his education in the UK, Canada and the US, he co-founded and became the CEO of an asset management company based in the USA during the 1980s and 90...

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Measuring, Managing and Monitoring Interest Rate Risk at IFF Training

From  3599 GBP$4,673

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Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

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