Guide to Interest Rate Risk Management
Objective: comprehensive 3-day programme to examine pricing and
position risk of a large number of common interest rate securities and
derivatives from a theoretical as well as real world perspective and a full treatment
of basics of conceptual and real world VAR for IR portfolios, including:
machinery for IR valuation including curve generation
understanding of options valuation both "what the books say" and
"what actually happens"
traditional as well as specific VAR methods (CVAR, HVAR, Monte
Carlo VAR) couched in a Regulatory framework
what the difficulties are including VAR validity/verification, how
traders can circumvent the limit reports, and how some instruments can
"become" other instruments via uses/abuses
market professionals with at least 2-year experience
1) Overview: big picture introduction including what risk management
is and is not, the basic tenants of the markets and valuation, as well as
Interest Rate Markets/Products: a comprehensive treatment of IR
products from present value theory to securities and derivatives pricing, market
convention curve generation, and risk management/position risk of IR products in
Options: comprehensive treatment of valuation under uncertainty
and options pricing, including a clear distinction between risk-neutral
(Black-Scholes) and outright positions. The treatment includes coverage basic tools of valuation,
exotic and term-structure problems, as well “reality impact” of theory vs.
practice, and may include “advanced valuation concepts and tools”.
VAR for Risk Management: examination of VAR concepts, tools, and
methods for risk management and may additionally include to any extent coverage
of historical VaR (HVaR), Covariance VaR (CVaR), and Monte Carlo VaR
(MCVaR), as well as
treatment of VAR under IRP. The
section also included a “reality impact” chapter illustrating ways in which
VAR may fail for reasons including lack of testing, trader “accounting
arbitrage” and “product transmutation”.
This section may also include more advanced analyses for the assessment
of “scenarios of scenarios” and VAR in isolation vs. an interactive
Regulatory Issue: Review and examination of Regulatory principles and
frameworks (Basle, CAD), and implications for limits reporting, and efficient
comprehensive and extensively illustrated Handout Notes (see samples
Plus copies of relevant TG2 Books/e-Books
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"