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Interest rate risk management

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Partager

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:

 

Niveau Avancé
Forme d’apprentissage Formation en classe

Prix total *

Membres: € 550
Non-membres: € 650
Partenaires/ BZB: € 550
Incompany: sur mesure, prix à la demande

* Avez-vous droit à une intervention ou des subventions?
* Prix : prestation dans le cadre du recyclage régulier, exonérée de TVA

Heures de Recyclage Banque: 6h spécifique au secteur

Recyclage

Manifestez votre intérêt lorsqu’aucune date n’est disponible, la date planifiée ne convient pas et/ou la session existante est complète. Dès que 5 personnes sont inscrites sur la liste d'intérêt, nous vous proposons une nouvelle date. Votre inscription sur la liste d'intérêt est gratuite et n'induit aucune obligation.

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Groupe cible

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.

Connaissances préalables

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

Méthodologie

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

Formateurs

Alexandre Deveen
Retail banking
Risk, finance & treasury
Private banking & asset management