Interest rates risk management

Interest rates risk management

CLASS OBJECTIVES

considering the latest developments in the international markets and the regulatory requirements for interest rate risk, the class offers an in-depth presentation of the interest rate products and an intuitive and practical understanding of the mathematical models used for interest rates. The class presents the implementation of the theory in financial applications through the use of intuitive and practical examples.

TARGET GROUP

Employees from the risk management, controlling or asset-liability management departments from credit institutions, non-banking financial institutions, insurance companies; middle management of these institutions or any other interested persons.

SUMMARY

Interest rates market:

  • Deposits, Forward contracts, Bonds, Swap contracts, Cap, Floors and Swaptions
  • Yield curve interpolation
  • Sensitivity analysis and Delta hedging
  • Multi-curve approach for interest rates

Models used for modelling interest rates risk:

  • Arbitrage theory and the numeraire approach for price estimation
  • Black-Scholes formula for interest rates
  • Mathematical models for interest rates: Short rate, Forward Rate, Markov and Libor models
  • Implementation of Markov models using trinomial trees

 Minimum pre-requirements:

– Basel regulatory framework for credit risk (Regulation 575/2013 ECB, Regulation 5/2013 NBR)

– Probability theory, logistic regression and normal distribution

– Excel (optional Visual Basics)

LECTOR

Cezar Chirilă holds a PhD in Finance with specialization in Financial Mathematics, obtained in 2013 at Frankfurt School of Finance and Management.

Starting 2017, he is a Senior Economic Risk Capital Modeler – Credit Suisse, Switzerland. From 2014 to 2017, he has coordinated the Rating Models and Risk Parameters Team – BCR Erste. He participated in the projects related to stress tests, IFRS9 and the implementation of the Internal Rating Based approach (IRB) in the retail, corporate and municipality’s portfolios of the bank.

In BCR he created the Credit Risk Workshop, dedicated to students in the last year of the master program from ASE, Mathematics Faculty and Polytechnic Faculty. He is Associated Professor for Academy of Economic Studies in Bucharest, where he teaches risk management at the Doctoral School of Finance and Banking – DOFIN and at the research in finance master program – CEFIN. He is also Associated Professor for the University of Bucharest, where he teaches credit risk for the Applied Mathematics Master Program.

SEMINAR DURATION

2 days, for a total of 16 hours.

PERIOD

TBA, between 09:00 – 17:00

Registration is made following the registration form.

RBI will organise the seminar on its premises, and will provide specialized lecturer, course materials and catering services during the training day.

At the end of the course, participants will be given a certificate, issued by RBI (under the aegis of the founding members: NBR and RBA), with 14 CPD credits.

CONTACT

Georgiana Gojgarea

Phone: 0748886819

email: georgiana.gojgarea@ibr-rbi.ro

 

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