Interest Rate Risk Management and Derivatives
DATE
Location
Instructor: Chris Hessel
Price: $1,095
Registration Form		 Typical Schedule
Day 1:
Registration: 8:55-9:00am
Class: 9-4:30, Lunch: 12-1
Day 2:
Class: 8:30-12:30

COURSE OUTLINE:

Measuring Interest Rate Risk to Level Changes

  • Price Value of Basis Point
  • Duration and Convexity
  • Effective Duration/Convexity versus Modified Duration/Convexity
  • Dollar Duration
  • Full Valuation Approach versus Duration/Convexity Approach
  • The Importance of a Valuation Model
  • Value at Risk

Measuring Exposure to Yield Curve Shifts

  • Limitations of Duration/Convexity to Nonparallel Yield Curve Shifts
  • Key Rate Duration

Using Interest Rate Futures to Control Interest Rate Risk

  • The Principles of Hedging and Interest Rate Risk Control
  • Preliminary Steps in Hedging
  • Constructing the Hedge Ratio
  • Risks Associated with Hedging with the Treasury Bond Futures Contract
  • Altering the Duration of a Portfolio with Futures

Using Options on Interest Rate Futures to Control Interest Rate Risk

  • Options on Futures versus Options on Physicals
  • Complications of Hedging with Options on Futures
  • Protective Put Buying Hedge Strategy
  • Covered Call Strategy and Its Limitations
  • Creating Collars
  • Comparison of Hedging with Futures and Futures Options

Using Interest Rate Swaps, Caps and Floors to Control Interest Rate Risk

Locations of the tutorials and hotel information will be supplied with the confirmation of your registration. The registration fee for all tutorials includes a program notebook. Lunch is on your own. The tutorials are fully copyrighted by their respective speakers. No audio recording or videotaping is permitted.

Call (215) 598-8930 with questions, or email info2@frankfabozzi.com.

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