Pricing and Hedging Interest Rate London

A deep-dive into interest rate derivatives, credit derivatives, asset-backed securities, pricing models and hedging techniques.<br />

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Pricing and Hedging Interest Rate and Credit Risk Sensitive Instruments

November 27-28, London

Course Agenda     Book Now

This in-depth and hands-on course has been designed to meet the practical needs of risk managers and portfolio managers.

The approach is intuitive, mathematically simple and emphasises models implementation with applications to representative sample financial instruments, with both Excel spreadsheets and R code examples.

As an intermediate level course, attendees should already have some familiarity with the main fixed income securities, as well as fundamental numerical and Excel skills. Programming skills are not a prerequisite.

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What will you learn? 
  • Gain an in-depth, practical understanding of how to hedge interest rate risk
  • Modelling and pricing interest rate derivatives including one-factor and multi-factor metrics
  • Sessions taught using practical case studies, Excel and R programming examples
  • Latest approaches to credit risk derivatives and hedging credit risk
  • Asset-backed securities and the securitisation process
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Who should attend

Relevant departments may include but are not limited to:

  • Trading
  • Pricing
  • Quantitative Analysis
  • Risk Management
  • Derivatives
  • Portfolio Management

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Andrea Ruberto

Senior risk manager

AZ Fund Management

27 November 2019
2019-11-27 08:30:00 +0000

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