Kent Westerbeck on Measuring and managing interest rate risk

New York
28 & 29 June 2010

London
12 & 13 July 2010

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Key learning outcomes:

By the end of the course you will have a better understanding of how to measure and manage interest rate risk so that is in-line with your overall risk profile. Specifically you will received knowledge about:

• How and why to lock in spreads on assets and liabilities
• Why interest rate risk can never be reduced to zero
• The measurement of market value risk using OAS vs. static models
• Hedging interest rate risk with options vs dynamic delta hedging
• The importance of hedge accounting: cash flow hedges and market value hedges

Course dates & venues

Course tutor

NEW YORK & LONDON

Kent Westerbeck

Course highlights

• Reappraise and review the objectives of interest rate risk management
• Deciding on a risk position: the case for a 'neutral' risk position
• Measuring the risk of individual assets and liabilities
• Hedging interest rate risk using swaps and swaptions
• Managing convexity risk: rationale and practical challenges