Interest rate risk management

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: This training will be given online
• Language: This training will be given in English
• Additional information: How do you start the webinar? You will receive a login and password by email to access our platform. In the platform you will find a link. By clicking on the scheduled date the webinar will start via Webex. 
  To be granted CPD hours, it is important to enter your own name and surname, follow the entire training day and answer the questions suggested by the trainer. Do not follow the training with several people on the same PC

Méthodologie

You follow a ‘Live webinar’ digitally in a group. It is ‘learning-apart-together’. At an agreed time, the teacher and participants log in to a video conference tool, each from his or her own location and with his or her own computer. Via this tool’s camera, microphone and chat function, 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