Interest Rate and FX Risk Hedging Workshop

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 Introduction to Interest Rate and FX Risk Management

  • The Anatomy of Interest Rate and FX Risk
  • Risk Management Challenges in a Post-Crisis Regulatory Environment
  • Overview of Tools and Methods for IR and FX Risk Management

Measuring Interest Rate Risk

  • Repricing vs. NPV Risk
  • Measuring Repricing Risk with GAP Analysis
  • Measuring NPV Risk
    • Positions, sensitivities and IR volatility
    • Cash flow sensitivity to IR changes
    • NPV sensitivity to IR changes
    • Duration and convexity
    • Yield curve risk (key rate durations)
    • Measuring aggregate interest rate risk (VaR)
  • Practical Exposure Calculation Examples
  • Workshop:
        Measuring Interest Rate Risk

12.00 - 13.00 Lunch

13.00 - 16.30 Hedging Interest Rate Risk

  • Overview of Strategies for Interest Rate Risk in Portfolio Management
  • Using OTC Derivatives: Challenges Arising from New Regulation (EMIR)
  • Using FRAs and Futures to Manage Fixing Risk
  • Using Interest Rate Swaps to Hedge Fixed and Floating Rate Assets and Liabilities Loans
    • “Fair Value”, “Cash Flow” and “Macro” hedges
  • Using Caps, Floors and Collars
  • Using Swaptions Hedge Long-Term Interest Rate Risk
  • Using Swaptions to Hedge Contingent Interest Rate Risk
  • Hedge Accounting: Fair Value and Cash Flow Hedges
  • Practical Hedging Examples Using CCP and Bilaterally Cleared Derivatives
  • Workshop:
        Using Interest Rate Derivatives to Hedge Interest Rate Risk at the “Micro” Level

Day Two

09.00 - 09.15 Recap

09.15 - 12.00 Hedging Interest Rate Risk (Continued)

  • Using “Macro Swaps” to Hedge Loan and Deposit Portfolios
  • Macro Hedging of Bond Portfolios Using Futures, Swaps
  • Workshop:
        Macro Hedging of Loan and bond Portfolios
  • Practical Hedging Examples

FX Risk Management

  • Sources of Currency Risk
  • Identifying and Measuring FX Exposure
    • Economic exposure
    • Translation exposure
    • Transaction exposure
  • Measuring FX Exposure at the “Micro” Level
  • Measuring FX risk at the Portfolio Level (VaR)
  • Practical Hedging Examples
  • Workshop:
        Identifying and Measuring FX Exposure

12.00 - 13.00 Lunch

13.00 - 16.30 Hedging FX Risk

  • Hedging Economic FX Exposure
  • Hedging Transaction Risk Exposure
    • Using forwards
    • Using “protective puts”
    • Using “covered calls”
    • Using swaps
  • Hedging Contingent Exposures
  • Using Exotic Options for Hedging Currency Risk
  • Using Cross Hedges and Proxy Hedges
  • Hedge Accounting: Fair Value and Cash Flow Hedges
  • Practical Hedging Examples Using CCP and Bilaterally Cleared Derivatives
  • Workshop:
        Hedging FX Transaction Exposure
  • Workshop:
        Hedging FX Risk of Investment Portfolio

Evaluation and Termination of the Workshop

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