Course description
This comprehensive delves into a myriad of crucial topics spanning interest income metrics, mark-to-market risks, the interplay between money markets and foreign exchange, central banks and monetary policy, duration gap risk management, quantitative easing (QE) and negative interest rates (NIR), interest rate swaps, the transition from IBOR rates, models for interest rate forecasting, stress test methods for treasury, funds transfer pricing (FTP), and interest rate risk in the banking book (IRRBB).
Participants will gain in-depth insights into time value of money, bond duration, convexity, optionality, and the intricacies of callable bonds, alongside understanding the impact of interest rate changes on various financial instruments and the balance sheet.
The course covers the mechanics and implications of central bank policies, duration gap analysis, and the management of economic capital. It also explores the complexities of quantitative easing, negative interest rates, the business case for using interest rate swaps, and the transition challenges from IBOR rates.
Upcoming start dates
Outcome / Qualification etc.
- Understand the fundamentals of interest income metrics, including the time value of money, zero coupon curves, discount factors, bond duration, convexity, and the calculation of Basis Point Value (BPV).
- Gain proficiency in analysing the term structure of interest rates, understanding different yield curve shapes, credit spreads, swap spreads, and the implications of optionality and callable bonds on pre-payment risk.
- Develop the ability to assess mark-to-market risks for income assets and funding instruments, comprehend fair value accounting principles (IFRS 9 and 13), and evaluate the impact of interest rate changes on the balance sheet and various market risk exposures.
- Acquire a deep understanding of the interaction between money markets and foreign exchange, including the size and participants of these markets, the mechanics of repo markets, commercial paper, and the nuances of LIBOR and EURIBOR rates.
- Master the concepts of central bank operations and monetary policy, including an overview of major central banks, the structure of central bank balance sheets, the effects of open market operations, and the impact of quantitative easing on yield curves.
- Learn duration gap risk management techniques, including duration gap analysis, economic capital, and Economic Value of Equity (EVE) calculations, and understand how to adjust the balance sheet for different duration gap scenarios.
- Explore the mechanics, business cases, and pricing of interest rate swaps, including the understanding of counterparty risk, credit valuation adjustment (CVA), and the distinctions between OTC markets and SEF platforms.
- Delve into advanced interest rate risk management strategies, such as models for interest rate forecasting, stress test methods for treasury, funds transfer pricing (FTP) approaches, and managing interest rate risk in the banking book (IRRBB), with a focus on regulatory considerations and Basel III implications.
Training Course Content
- The mechanics of interest income metrics
- Understanding mark to market risks
- Foreign exchange & money market
- Understanding central banks & monetary policies
- Duration gap management
- Negative interest rates and quantitative easing
- The mechanics of interest rate swaps
- Replacement of IBOR rates
- Interest rate forecasting models
- Stress testing techniques
- Understanding funds transfer pricing
- Getting to grips with IRRBB (interest rate risk in the banking book)
Course delivery details
All courses can be delivered ONSITE, ONLINE or BLENDED to suit your distinct requirements.
Whether one-to-one or group deliveries, entry level or boardroom executives, are consultants are here to develop a programme to meet your specific business needs.
Simply contact us to discuss your requirements.