IN-HOUSE COMPANY TRAINING
Duration
Adjustable
Format
On-site or remote
Custom pricing
Reference
FOIRRD-225
Training Course | Risk Management | The Fundamentals of Interest Rate Risk and Derivatives - Finance Tutoring
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
Fund Managers
Treasurers
Financial Analysts
Financial Engineers
Portfolio Managers
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