Interest Rate Risk Hedging Workshop

November 25 - 26, 2020
EUR 1,400
Prague, NH Hotel Prague
Mark Taylor

This 2-day workshop offers a detailed analysis of the process of interest rate hedging, from the measurement of risk through to detail on the products used to hedge.

On day one, we start with the basics of interest rate risk. How does it arise? How do we measure it? The workshop will look at how to quantify interest rate risk and the different measures popular with companies. During this section we will talk about how companies make the hedging decision and how they create a risk management policy. We also discuss dealing with banks - what's in it for them and how do they manage the risk?

On day two we move our focus to the hedging products themselves with a detailed analysis of the different products available and what each one offers as a hedge. Participants will learn the products in an intuitive way but also be taught the important pricing and risk calculations for each one. The products will be assessed in aggregate and we will discuss the role of each one in a diversified hedging portfolio. Once the products have been understood, the next section deals with how the valuation of the trade evolves over time, looking at the importance of yield curve shape in the valuation and future break costs. Next we look at the future of IBOR reference rates and the nature of their replacements.

The workshop finishes with a session analysing some real company hedging decisions and policies, bringing together all the knowledge gained over the two days to critique the approach taken by these companies to the job of interest rate risk management.

Who should attend?
Bank traders, salespeople, structurers
Bank market risk managers, middle office and operations professionals
Investors - institutional investors, fund managers, private traders
Company treasury managers and staff, accountants, risk managers

Workshop methodology
The workshop consists of classroom-based training which combines formal teaching of concepts and technical content, with individual and group exercises to reinforce learning points.

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