Managing Interest Rate Risk
8-WEEK INSTRUCTOR-FACILITATED ONLINE COURSE
An exploration of interest rate risk measurement techniques such as GAP, earnings sensitivity analysis, Duration GAP and economic value of equity sensitivity analysis. Risk management policy implementation and how to change overall interest rate sensitivity through balance sheet adjustments or derivative contracts are discussed.
- Apply the mechanics of valuing cash flows including duration and price sensitivity
- Identify the determinants of the overall level of interest rates
- Use static GAP, duration GAP and sensitivity analysis to measure interest rate risk
- Examine how derivatives–futures, forwards, interest rate swaps, caps, floors and collars–are used to manage interest rate risk
- Apply course concepts to the management of interest rate risk within your bank
to enroll by phone.
Bank Management, 8th Edition, Timothy W. Koch and S. Scott MacDonald, Thomson Learning Other courses using this textbook are: Analyzing Bank Performance; Managing Interest Rate Risk; Managing the Bank’s Investment Portfolio.
Participants should be familiar with the characteristics of financial instruments that appear on bank balance sheets.
Managing Interest Rate Risk is a rigorous course designed for individuals involved in asset liability management or line managers making pricing, investment, or funding decisions that impact interest rate risk.
The New York Bankers Association is a Local ABA Training Provider.
NYBA Professional Development at (212) 297-1679