Immunizing Your Portfolio from Interest Rate Risk

Aired: Wednesday, May 31, 2017


With the long bull market in fixed income drawing to a close, banks must be prepared for a rising interest rate environment. This recording highlights the techniques and concepts bank risk managers will need in their analytics toolkit to ensure accurate measurement and management of interest rate risk in their portfolios. Specific topics covered include static and duration gap management, economic value of equity, net interest income simulation, interest rate shock scenario analysis and decomposition of the yield curve using principal components analysis. Get your questions answered!

This recording focuses on:

  • Survey analytic techniques used to measure interest rate risk such as static and duration gap analysis economic value of equity measurement, net interest income simulation and interest rate risk shock scenarios
  • Review and understand strengths and weaknesses among various interest rate risk methods
  • Highlight portfolio level interest rate risk metrics as key risk indicators (KRIs) in the asset liability management process
  • Provide a review and checklist of building an effective interest rate risk management program

Speakers:

  • Clifford V. Rossi, Ph.D., Faculty Head and Program Director, Professor of the Practice and Executive in Residence, Robert H. Smith School of Business, University of Maryland
  • Steve Gaenzler,  CFA, Five Bridges LLC
 

 Continuing Education Credits

 
The Institute of Certified Bankers (ICB) has declined continuing education credits for this live program and the recording.

CPE logoRecordings are not eligible for CPE credits.

American Bankers Association is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be submitted to the National Registry of CPE Sponsors through its website: www.nasbaregistry.org.
​Questions? Please contact Linda Shepard / Cari Hearn for more information.
 

 Pricing & Purchasing

 

Streaming Online Recording
Now Available

ABA Member • $235
Non-Member • $365

 

 Who Should Attend

 
  • Finance and Risk Management Professionals involved in asset liability management
  • Line Managers making pricing, investment, or funding decisions that impact interest rate risk
  • Chief Risk Officers
  • Senior Risk Executives
  • Senior Bank Managers
  • Bank Legal Counsel
  • Risk Auditors
  • Compliance Officers / Managers
  • Risk Consultants
  • CRCMs, and CPAs
 

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