A deep-dive into interest rate derivatives, credit derivatives, asset-backed securities, pricing models and hedging techniques.<br />
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.
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
Who should attend
Relevant departments may include but are not limited to:
This training course will provide attendees with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk.