Corporate Treasury Management Interest Rate Risk Management

CTM - Interest Rate Risk Management

For information about our other e-learning solutions see Course Catalog

Overview
Financial markets have seen an enormous growth in fixed-income obligations, which in turn has increased volatility of interest rates. The management of interest rate risk using various derivative instruments (futures, swaps and options) forms the focus of this course. The mechanics and application of these instruments for hedging, arbitrage and speculation purposes are discussed. Caselets and simulation exercises facilitate better understanding of interest rate risk management.

After completing this course, you will be conversant with:

Managing interest rate risk using derivative instruments
Pricing and valuation of interest rate derivatives
Building hedging strategies

Target Audience

Every professional involved in the global financial services industry (as a provider, user, regulator or advisor of product/services, marketplace/exchange) would benefit from KESDEE’s innovative solutions.

Corporate Treasury Management - Interest Rate Risk Management
Time taken to complete each Course: Two - Three hours

1. Treasury Management – Scope and Importance

What is Treasury Management?
Structure of Treasury Management
Functions of Treasurer and Controller

2. Overview of Risk Management

Concept of Risk
Risk Management Process
Determination of Business Objectives
Identification of Risks
Measurement of Risk

3. Interest Rate Futures

Interest Rate Futures

Forward Rate Agreement (FRA)

4. Interest Rate Options

Interest Rate Options

Over-the-Counter Options

Calls and Puts on LIBOR

Caps, Floors and Collars

Exchange Traded Options

5. Interest Rate Swaps

Price Quoting Conventions

Pricing & Valuing Interest Rate Swaps

Variants of Interest Rate Swap

6. Case Studies – Applications of Interest Rate Derivatives

JOB AIDS

Measurement Tools
Disclosures
Scope and Structure of FX and Derivatives Markets
Global Best Practices
Policy Templates
Regulations

Calculators in Interest Rate Risk Management - Treasury Management

1. American / European Quotes
2. Spot Cross Rates
3. Calculating Forward Rate
4. Forward Cross Rates
5. Pricing Currency Futures - Continuous Compounding
6. Pricing Currency Futures - Daily Basis
7. Valuation of Generic Currency Swaps
8. NPV of Currency Cash Flow in a Swap
9. Options strategies (Excel)
10. Operating Exposure
11. Current / Non-current Method
12. Monetary/Non-monetary Method
13. Temporal Method
14. Current Rate Method
15. Money Market Hedge
16. Forward Market Hedge
17. Break Forward
18. Range Forward
19. Participate Forward
20. Duration
21. Duration of Portfolio
22. Convexity
23. BPV of a Bond
24. BPV of a Portfolio
25. BPV of a Forward Rate Agreement
26. BPV of a Coupon Paying Bond
27. Yield Curve Interpolation
28. Calculation of FRA settlement
29. Pricing T-Bond futures contract
30. Options on Futures
31. Options on LIBOR
32. Swaptions
33. Pricing interest rate swap
34. Confidence Level for a given Standard Deviation
35. Standard Deviation for a given Confidence Level
36. VaR Moving from one Confidence Level to Another (required period and Confidence level)
37. VaR - Variance Covariance Method
38. Value at Risk for Different Weights
39. Calculation of discount and price -bill of exchange
40. Price of a Discount Instrument
41. Price of a Commercial Paper
42. Money Market yield / Cash Price of CD
43. Yield - Bill of Exchange
44. Portfolio Risk and Return (when covariance and returns of assets NOT given)
45. Portfolio Risk and Return (when covariance and returns of assets is given)

For more information about our e-learning products and services
visit us at www.kesdee.com

CTM - Interest Rate Risk Management		Highlights Library of 6 Courses Available Products Upcoming Products Reply Form

For information about our other e-learning solutions see Course Catalog