Interest Rate and FX Risk Hedging Workshop

2 days
Prague, NH Hotel Prague
  • Regulatory Challenges in Managing Rate Risks
  • Measuring and Managing Repricing Risk
  • Measuring and Managing NPV Risk
  • Hedging Yield Curve and Spread Risk
  • Hedging FX Transaction Exposure
  • Fair Value, Cash Flow and Macro Hedges
  • Practical “Real Life” Workshops
A two-day practical workshop on state-of-the art techniques for measuring and managing rate risks

The purpose of this workshop is to give you a good and practical understanding of and "hands-on" experience with tools and techniques for measuring and managing interest rate and FX risk in a post-crisis low-yield and tough-regulation environment.

We start with a general introduction to interest rate risk and FX risk management. We explain the "anatomy" of interest rate and FX risk and present an ALM framework for assessing and managing these risks.

We then explain methods for measuring interest rate risk. We present and explain concepts such duration, convexity and key rate duration, and we also how interest rate risk can be assessed at the portfolio level.

Further, we present, explain and demonstrate methods for hedging interest rate risk at the micro and macro levels. These methods include the use of derivate instruments such as futures, swaps, caps, floors and swaptions.

Finally, we turn to look at FX risk. We explain how economic, translation, transaction and contingent exposures can be identified and measured in Treasury an in investment portfolios, and we explain and demonstrate how these exposures can be hedged using forwards, swaps, futures and options.

The course is relevant to treasurers and risk management practitioners in banks as well as in non-financial firms.

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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