Managing Interest Rate Risk

Course Number: ABA

Course Code: ABA

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.

Learning Objectives
– Apply the mechanics of valuing cash flows including duration and price sensitivity
– Identify the determinants of the overall level of interest rates
– Use static GAP, duration GAP and sensitivity analysis to measure interest rate risk
– Examine how derivatives – futures, forwards, interest rate swaps, caps, floors and collars – are used to manage interest rate risk
– Apply course concepts to the management of interest rate risk within your bank

Audience: 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.

Prerequisites: None

Register Now

Member Price: $875.00
Non-Member Price: $1125.00
Textbook Charge: $0.00

Credits: 3

Start Date: 11/02/2020
End Date: 01/08/2021
Length: 8 Weeks
Start Time: 12:00 am
End Time: 12:00 am
Day: Online
Location/Room: Online Instructor-Led

ABA Training