AIB Managing Interest Rate Risk
Course Code: 7811
Length: 8 Weeks
Audience: Managing Interest Rate Risk is a rigorous course designed for individuals involved in asset liability management or line managers making pricing, investment, or funding decisions that impact interest rate risk
Description: This course provides participants with the tools to measure and manage their bank's interest rate risk.
Objectives: After successfully completing this program, you will be able to:
- Understand the mechanics of valuing cash flows including duration and price sensitivity
- Identify the determinants of the overall level of interest rates
- Use static GAP analysis to measure interest rate risk
- Use duration gap to measure interest rate risk
- Assess the impact on interest rate risk of various pricing, investment, and funding decisions
- Use a range of derivatives to manage interest rate risk including futures, forwards, interest rate swaps, caps, floors, and collars
- Apply all of these concepts to the management of interest rate risk in their own institution
Text Book: This course uses Bank Management, 6th Edition, by Timothy W. Koch and S. Scott MacDonald, Thomson Learning 2005. If you already have a copy of the textbook, be sure to register for your next course using the “without textbook” option.
Recommended Course Credits: AIB: 2.0; CPE: 28.5
Prerequisites: Participants should be familiar with the characteristics of financial instruments that appear on bank balance sheets. Students will also need Microsoft Excel to complete this course.
Enrollment: To enroll in this course, please click on the link below for the registration form. Print and complete the form and submit it to your supervisor for approval. Then submit the approved form to your human resources department for processing.