Program Description:
Participants should have a understanding of financial
instruments, financial markets, and interest rate mechanics
either through the Analyzing Bank Performance course or
experience. This is a difficult course that covers a number
of complex concepts and requires an ability to deal with
a variety of mathematical concepts and computations.
After successfully completing this course, the student will be able to:
- Understand the mechanics of valuing cash flows
including duration and price sensitivity
- Identify the determinants of the overall level of
interest rates
- Use static GAP and duration GAP analysis to
measure interest rate risk
- Assess the impact on interest rate risk of various pricing, investment, and funding decisions
- Use a range of derivatives to manage interest rate
risk including futures, forwards, interest rate swaps,
caps, floors, and collars
- Apply all of these concepts to the management
interest rate risk in your own institution
Who Should Attend:
Individuals involved in asset liability management or
line managers making pricing, investment, or funding
decisions that impact interest rate risk.
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