Risk Management - Part 5
This eCourse consists of two modules on managing interest rate risk. Module 1 looks at the issues surrounding the identification of interest rate risk and the subsequent measurement of it.
Module 2 focuses on the structures banks put in place to manage interest rate risk and the various approaches to such management – from ‘passive’ responses such as the imposition of limit systems to ‘active’ responses involving hedging rate risk via derivatives.
On completion of this course, you will be able to:
- Identify the key sources of interest rate risk for a banking business
- Describe how gap and duration measurements are used to quantify the extent of interest rate risk from different perspectives
- Describe how most banks attempt to centralize the process of managing interest rate risk through a treasury function, which adopts both passive and active approaches to handling this risk
- Outline how derivative instruments are used to hedge interest rate risk
Module 1: Interest Rate Risk - Identification & Measurement
Topic 1: Identifying Interest Rate Risk
Topic 2: Measuring Interest Rate Risk
Module 2: Interest Rate Risk - Management
Topic 1: Overview of Managing Interest Rate Risk
Topic 2: Hedging Interest Rate Risk