Managing Interest Rate Risk
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AIB Course Code: 7811
Course Length: 8 weeks
Course Description:
This course provides participants with the tools to measure and manage their bank's interest rate risk
Audience:
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.
Learning Objectives:
After successfully completing this program, you 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 analysis to measure interest rate risk
- Use duration gap 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 of interest rate risk in their own institution
Textbook:
Bank Management, 6th Edition, by Timothy W. Koch and S. Scott MacDonald, Thomson Learning 2005.
Note: This course does not include a textbook and assumes that you or your bank already has one for your use. If you need a textbook, please register for the course which includes one.
Course Credits: AIB: 2.0; CPE: 28.5
Prerequisites:
Participants should be familiar with the characteristics of financial instruments that appear on bank balance sheets.
Required Software: Microsoft Excel
