A two-day practical workshop on state-of-the art techniques for measuring and managing rate risks
The purpose of this workshop is to give you a good and practical understanding of and "hands-on" experience with tools and techniques for measuring and managing interest rate and FX risk in a post-crisis low-yield and tough-regulation environment.
We start with a general introduction to interest rate risk and FX risk management. We explain the "anatomy" of interest rate and FX risk and present an ALM framework for assessing and managing these risks.
We then explain methods for measuring interest rate risk. We present and explain concepts such duration, convexity and key rate duration, and we also how interest rate risk can be assessed at the portfolio level.
Further, we present, explain and demonstrate methods for hedging interest rate risk at the micro and macro levels. These methods include the use of derivate instruments such as futures, swaps, caps, floors and swaptions.
Finally, we turn to look at FX risk. We explain how economic, translation, transaction and contingent exposures can be identified and measured in Treasury an in investment portfolios, and we explain and demonstrate how these exposures can be hedged using forwards, swaps, futures and options.
The course is relevant to treasurers and risk management practitioners in banks as well as in non-financial firms.
