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Measuring and Hedging Interest Rate Risk

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This programme enable participants to understand, apply and critique the range of financial derivatives available to hedge interest rate risk.

 

Upon completion of the programme, participants will be able to: 

 

  1. Understand apply the concept of duration (and DV01 specifically) to compute interest rate risk

  2. Describe the Interest Rate Markets and interpret the factors influencing the movement of Interest Rates and Yield Curves

  3. Categorize the various types of Yield Curves and Discount Factor Curves

  4. Reconstruct the cash flows of Interest Rate Swaps by interpreting financial market data

  5. Evaluate how different swap structures aid the hedging of interest rate risk

  6. Analyze and contrast hedging interest rate risk using swaps with a variety of financial futures

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