Interest rate risk in volatile markets workshop
View AgendaKey reasons to attend
- Learn about interest rate risk model complexities
- Address the relationship between interest rate and inflation
- Gain a practical perspective with a relevant case study
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About the course
This interactive in-person event will provide participants with the key tools to manage interest rate risk. Participants will explore the fundamentals of interest rate risk modelling by learning about short rate models and multi-curve dynamic models.
Participants will gain a robust understanding of diverse hedging strategies such as options, futures and interest rate swaps. Sessions will explore the current regulatory landscape by deep diving into IRRBB, Basel highlights and more local implications.
Optimising the balance sheet and the relationship with liquidity risk management will also be studied. Participants will have the opportunity to connect with the expert tutor and their peers through active learning and discussions.
Learning objectives
- Evaluate the challenges and impact of volatile interest rates
- Assess non-maturity deposits and structural hedging
- Create an interest rate risk management strategy
- Utilise hedging strategies for mitigating risks
- Develop Interest Rate Risk in the Banking Book (IRRBB) risk metrics
- Optimise balance sheets by aligning with IRRBB frameworks
Who should attend
Relevant departments may include but are not limited to:
- Interest rate modelling
- Interest rate risk in the banking book
- Liquidity risk management
- Risk management
- Stress-testing
- Asset-liability management
- Treasury
- Funds transfer pricing
- Balance sheet management
Agenda
Sessions:
- Impact of volatile rates and interest rate risk challenges
- Interest rate risk in the banking book (IRRBB) and the regulatory landscape
- Setting limits and managing interest rate risk in the balance sheet
- Interest rate risk modelling and model complexities
- Hedging against interest rate risk
- Case study
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- EC to adopt NII outlier test within ‘weeks’ - Read article
- Swap dealers look internally to ease SOFR basis headaches - Read article
- Bank balancing: optimising margin and capital in a higher rate environment - Read article
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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