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Global Financial Markets Institute»Running an Interest Rate Swap Book

Running an Interest Rate Swap Book

A swaps book is similar to a house in that it requires a foundation to ultimately manage the risks associated with the identification, measurement and management of the swaps book. The foundation for a swaps book includes the features and characteristics of the instruments, understanding yield curves for valuation and pricing, and properly grouping the cash flows to identify the amount of risk along the curve and in the portfolio. Risk limits and the relevant reports are also discussed.

Course Objectives

By the end of the course, participants will be able to:

  • Identify the features, characteristics, and differences between Eurodollar futures, forward rate agreements (FRAs) and interest rate swaps
  • Describe how forward cash flows are grouped and how the corresponding risk measurements, along the yield curve and portfolio, are used to measure and manage risk
  • Analyze how different yield curve interpolation methodologies and assumptions affect valuation
  • Identify market and counterparty credit limits required for this business
  • Discuss risk management reports and limits
  • Analyze the swaps book in the context of a portfolio

Suggested Prerequisites:

  • Swaps
  • Futures and Forwards
  • Bond Math or equivalent knowledge

Program Level: Intermediate

Advance Preparation: None

Computers and Financial Calculators: Computers

Recommended CPE Credits: 7

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  • About Us
    ▼
    • Our Story
    • Our Team
    • Our Clients
    • Strategic Alliance
    • Our Associations
  • Services
    ▼
    • Virtual Instructor Led Seminars
    • Training Needs Analysis
    • Custom Built Training
    • Subject Matter Experts
  • Training Courses
    ▼
    • Virtual Instructor Led Seminars
    • Alternative Investments
    • Asset Liability Management
    • Capital Markets
    • Commodities
    • Corporate Finance Course
    • Credit and Credit Analysis Course
    • Credit Derivatives
    • Derivatives
    • Digital Assets
    • Economics
    • Equities
    • Financial Statement Analysis Accounting
    • Fixed Income Courses
    • Foreign Exchange
    • Insurance
    • Municipals
    • Mutual Funds and ETFs
    • Operations
    • Portfolio Management
    • Quantitative Methods and Excel
    • Regulation and Compliance
    • Risk Management
    • Securities Lending — Repurchase Agreements
    • Securitization and Structured Finance
    • Structured Products
    • Wealth Management
  • Training Methods
    ▼
    • Classroom Training
    • Virtual Instructor-Led Training (VILT)
    • Online Learning — eLearning
    • Financial Simulation
    • Blended Learning
  • Insights
    ▼
    • eNews
    • Articles
    • Glossary
    • Blog
    • Case Studies
  • Contact us