Pricing and Hedging Interest Rate London

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

Thumbnail

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.

Thumbnail
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
Thumbnail
Who should attend

Relevant departments may include but are not limited to:

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

Thumbnail
Andrea Ruberto

Senior risk manager

AZ Fund Management

Andrea Ruberto is a Senior Risk Manager at AZ Fund Management, a Luxembourg asset management company managing over 100 funds including UCITS and AIFs, and having more than €28 billion of AUM. Andrea has more than 12 years of experience in Risk Management. Prior to joining AZ Fund Management in 2018, Andrea has been working for third party Super ManCos in Luxembourg for four years. He started his career in Aletti Gestielle SGR in Italy, where he has been working for 7 years.

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