Interest rate risk management
At the end of the course, the participant is familiar with the interest rate risk and the derivative financial instruments used to manage it. The hedging techniques are clearly explained using examples inspired by current market conditions.
The presentation discusses:
- firm commitments (bond forward, currency forward, forward rate agreement, STIR, interest rate swap and cross currency swap);
- option contracts on these instruments (callable and putable bonds, currency options, cap, floor, swaptions).
Total price *
Members: € 550
Non-members: € 650
Partners/ BZB: € 550
Incompany: tailor-made, prices on request
* Price: service in the context of continuing professional training, exempt from VAT
CPD Hours Banking: 6h sector specific
Continuing Professional Development
Please let us know you're interested in this training should there be no date available, the planned date does not suit you and/or this session is full. As soon as about 5 people are registered on the interest list, we will propose a new course date. Your registration on the interest list is free of charge and without any obligation.
Target group
The training course can be taken by various target groups:
- management, members of management and employees responsible for portfolio management and / or investment advice;
- management, members of the executive and employees of the product, risk, compliance, accounting, legal, tax, operational and administrative departments;
- members of the Board of Directors, management of operational bodies and collaborators of a pension fund (OFP);
- management, members of management and employees of monetary or controlling bodies.
Required prior knowledge
Advanced level training: this training requires a general basic knowledge of the subject.
Programme
CONTENT
- Introduction
- Money market, currency market, capital market , credit market
- Speculation, hedging, arbitrage
- Interest rate
- Fixed and floating rate, simple interest and compound interest
- Price, return, yield, forward rate, (modified) duration
- Market instruments
- Deposit, zero coupon bond, coupon bond, floating rate note
- No-arbitrage
- No-arbitrage pricing, ESTR and SOFR
- Continuous interest, valuation models, law of one price, value adjustments
- Forwards
- Bond futures, currency forward, forward rate agreement, STIR
- Interest rate swap, cross currency swap
- Options
- Call (put) on a bond futures, callable (putable) bond
- Call (put ) on a foreign currency, on a STIR, on a swap
- Conclusions
- Risk Management 101
- Exercises & Appendix
PRACTICAL INFORMATION
- Duration: 1 day of training (6 class hours)
- Hours: 09:00 to 17:00
- Location: Febelfin Academy: Phoenix building, Koning Albert II-laan/Boulevard du Roi Albert II 19, 1210 Brussels
- Language: This training will be given in English
Methodology
You follow a ‘Classroom training’ in a group. You, the other participants and the teacher are all present in the same classroom at an agreed time. There is an opportunity for interaction and feedback, both from the participants to the teacher and vice versa. The teaching material consists as a basis of a presentation via the MyFA learning platform, supplemented with various other items (such as digital syllabus, presentation, audiovisual fragments, etc.).
Training material: PowerPoint presentation
Teachers
Alexandre Deveen
Retail banking
Risk, finance & treasury
Private banking & asset management
