Interest Rate Modelling

Multi-curve dynamic and stochastic models; Behavioural modelling and dynamic assumptions; Impact of low rates and negative rate challenges

During this 2-day online course, Participants will gain insights in how to develop interest rate modelling with essential concepts such as multi-curve dynamic and stochastic models, behavioural modelling, dynamic assumption and hedging strategies. The training course also cover the impact of low rates and negative rate challenges, and IRRBB management.

Join us to learn how to apply best practice approaches within interest rate modelling.

Dr Gary van Vuuren

Quantitative Analyst, Risk Reward Consultant

Risk Reward

Gary is an international banker and risk management expert with significant experience in banks and financial institutions for over 30 years.


His most recent projects and training (for banks and financial regulators) have been in the areas of credit risk and IFRS9 model validation for banks in the EMEA regions, spanning from the UK, EU, Gulf and southern Africa markets.


His career began as a ‘super quant’ in physics where studied at the University of Natal (South Africa) completing an Honours degree in mathematics and physics, followed by achieving a Masters in astrophysics and ultimately a PhD in nuclear physics (1993).


Gary transitioned to banking and finance and risk management at Goldman Sachs in London from the Atomic Energy Commission in 1997.


He has held risk and qualificative roles for ABSA (Johannesburg) as a market risk manager, then Old Mutual Asset Managers (Cape Town) as a quantitative risk analyst. Having transferred to the UK on the Highly Skilled Migrant Program he obtained a Masters in market risk management, and a second PhD, this time in credit risk management while also earning the GARP (Global Association of Risk Professionals) Financial Risk Manager qualification by examination.


His career subsequently led him to roles in the market risk department of Standard Bank (London), as a quantitative consultant at Ernst & Young (London) and then with Merrill Lynch in product control. Between January 2006 to 2015 Gary was engaged by Fitch Ratings as Senior Director with a focus on quantitative credit risk assessment and management in financial institutions (with an emphasis on Basel regulatory accords). His principal tasks included credit risk modelling (PDs, credit loss distributions – ELs, ULs, correlations), understanding the mechanics of the Basel accords and teaching these to new graduates (and existing team members), model validation, quantitative modelling, LGD modelling (using logit models), joint probability modelling, extreme value applications, CVA analysis, procyclicality rules, expected shortfall (VaR changes), etc.


Gary was later responsible as Head of Model Validation at Aviva Investors (London) from 2015 to end 2016, and then most recently served as a private consultant working for the European Central Bank on two different regulatory rule implementation roles, one in Antwerp (2017) and another in Utrecht (2018).


He is well-known as a commercial trainer and as a lecturer at two French universities (IESEG and EDHEC) as well as several South African universities. His publications include over 90 refereed articles in international journals. Gary has been a risk management and financial modelling in excel trainer for Risk Reward Ltd (UK) since 2008.

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What will you learn?
  • Understanding multi-curve dynamic and stochastic models
  • Essential planning for behavioural modelling
  • Practical insights in interest rate model complexities and hedging strategies
  • Introduction to interest rate risk and IRRBB introduction
  • Impact of low rates and negative rate challenges
  • Interest Rate derivatives and swaps options
  • How to respond to a potential interest rate hike
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Who Should Attend?

Relevant departments may include but are not limited to:

  • Interest rate risk
  • Balance sheet management
  • Liquidity risk
  • Risk management
  • Model validators
  • Regulators
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Sessions Include
  • Multi-curve Dynamic Models

  • Stochastic Models

  • Behavioural Modelling and Dynamic Assumptions
  • Various Model Complexities and Hedging Strategies

  • Interest Rate Risk

  • IRRBB: Setting up Limits and Balance Sheet Management

  • Impact of Low Rates and Negative Rate Challenges

  • Interest Rate Derivatives

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Pricing options

We offer flexible pricing options for this course:

  • Early bird rates - save up to $500

  • Group booking rate - save over $1500

  • Subscribe to receive Risk Training updates and avoid missing out on additional savings

Live Virtual training courses

 

Our live virtual training courses have been designed to engage and inspire you. Much more than a webinar, our approach includes:

  • Technical content compressed into 60-minute interactive sessions and spread out over two, three or four days

  • Facilitated collaboration including Q&A, interactive polling and group workshops

  • Live interaction with subject matter experts – get your questions answered in real time

  • Receive comprehensive course materials and supporting content from Risk.net to reinforce your learning

  • Stay connected with other learners and extend your network by joining our dedicated LinkedIn group for course participants

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