Risk Management Training Programs
Fundamentals of Interest Rate Risk and Derivatives
Understand interest rate risk, hedging strategies, valuation models, as well as the use of derivatives such as swaps, caps/floors, and swaptions within an integrated risk management approach.
IN-PERSON OR REMOTE CLASS
Duration
2 days
Additional activity
Remote
2,250 € VAT excluded
VAT exemption according to article 261-4-4° of the French Tax Code
Reference
FOIRRD-225
(*) As a training organization, Finance Tutoring benefits from a VAT exemption under Article 261-4-4° of the French General Tax Code (CGI).
Course Description
Fundamentals of Interest Rate Risk and Derivatives
2-day intensive training (14 hours) - Theoretical approach and practical case studies
◆ Interest Rate Risk Management Certification ◆
This training provides in-depth understanding of key mechanisms and strategies for managing interest rate risk, with particular focus on derivative instruments and their practical applications in financial management. A comprehensive program combining advanced theory and immediate practical implementation.
◉ Current Context
In an environment of volatile rates and increased regulation, this training addresses growing needs:
- ► Historic interest rate volatility
- ► Increased risk management requirements (FRTB, Basel IV)
- ► Growing complexity of interest rate derivatives
- ► Need for advanced technical skills
Curriculum
1. Interest Rate Risk and Markets
- Definition and challenges of interest rate risk
- Market participants and operations
- Yield curve analysis
- Macroeconomic influencing factors
- Key monitoring indicators
2. Hedging Instruments
- Interest Rate Swaps (IRS)
- Rate Futures and Forwards
- Valuation methods
- Basic hedging strategies
- Swap basis analysis
3. Complex Products
- Swaptions and rate options
- Advanced hedging strategies
- Practical application cases
- Structured rate products
- Convexity management
Learning Objectives
- Understand interest rate risk and market participants
- Master interest rate swaps
- Analyze the swap yield curve
- Evaluate rate sensitivities
- Value futures, forwards and swaps
- Apply pricing methods
- Design hedging strategies
- Optimize risk management
Target Audience
Professional Benefits by Profile
◉ Quantitative Analysts
Advanced financial mathematics (stochastic calculus, PDEs, Itô's lemma) is essential for building robust models. Mastering pricing models enables precise calibration to market data.
- ► Rate models (Vasicek, CIR, HJM)
- ► Monte Carlo simulations for complex products
- ► Greek calculations for hedging
◉ Derivatives Traders
Deep understanding of rate and volatility models helps anticipate price behavior and optimize trading timing.
- ► Swap basis analysis
- ► Butterfly and condor strategies
- ► Convexity risk management
◉ Risk Managers
Value-at-Risk calculation techniques and sensitivity analysis enable precise portfolio exposure quantification.
- ► DV01 and CS01 calculations
- ► Yield curve stress tests
- ► Integration of regulatory constraints
Frequently Asked Questions
1. What are the prerequisites for this training? +
2. What types of risks are covered in the training? +
◉ In-person/remote training ◉ Training materials provided ◉ Course certificate ◉ Real-world case studies
Training Program
Fundamentals of Interest Rate Risk and Derivatives
I. Interest Rate Risk
- Definition
- Key challenges
- Market participants
II. Interest Rate Swaps
- Overview
- Market and participants
- Recent regulatory developments
- Structure and mechanics
Practical Case:
Analysis of different swap applications and benefits
III. Swap Yield Curve
- Zero-coupon curve
- Forward rate curve
- Yield curve construction: Bootstrapping method
Practical Case:
Calculating forward rates from zero-coupon curve