Managing Interest Rate Risk

AIB Course Code: 7811

Dates Offered | Registration (Deadline is one week prior to start date)

This course provides participants with the tools to measure and manage their bank's interest rate risk.

"I received comments from upper management that the book we studied from (Bank Management) is the best book in the industry.  The course work took me longer than I anticipated, but the assignments were challenging and I felt like I learned a lot about ALM."

Price* $795 ABA Members /$1025 Nonmembers - with textbook
$695 ABA Members/$925 Nonmembers - without textbook**
After 2/1/2015:
$875 ABA Members /$1125 Nonmembers - with textbook
$750 ABA Members/$975 Nonmembers - without textbook**

Course Length 8 Weeks
Course Credits AIB: 2.0
Prerequisites Participants should be familiar with the characteristics of financial instruments that appear on bank balance sheets.
Required Software Technical Requirements; Microsoft Excel; Adobe Acrobat Reader
Textbook** Bank Management, 7th Edition, by Timothy W. Koch and S. Scott MacDonald, 2009, Thomson Learning

Audience

Managing Interest Rate Risk is a rigorous course designed for individuals involved in asset liability management or line managers making pricing, investment, or funding decisions that impact interest rate risk.

Learning Objectives

After successfully completing this program, you will be able to:

  • Understand the mechanics of valuing cash flows including duration and price sensitivity
  • Identify the determinants of the overall level of interest rates
  • Use static GAP analysis to measure interest rate risk
  • Use duration gap to measure interest rate risk
  • Assess the impact on interest rate risk of various pricing, investment, and funding decisions
  • Use a range of derivatives to manage interest rate risk including futures, forwards, interest rate swaps, caps, floors, and collars
  • Apply all of these concepts to the management of interest rate risk in their own institution

 

* Registration for one or more courses that include accompanying textbooks will also incur a shipping & handling fee.

** If you already have a copy of the textbook, be sure to register using the "without textbook" option.

Questions? Please contact online@aba.com or 1-800-BANKERS for more information.