This seminar provides:
* Familiarity with the metrics / indicators of interest rate risk (GMaR, EaR) and the classical concepts of the calculation of interest rate risk (EVE, NII, etc.);
* identification of the connection between spot and forward interest rates, as well as the description of the temporal structure of the level of interest rate;
* identification of the role of volatility to estimate the price of interest rate fluctuation risks;
* formation of skills for applying different models for assessing the dynamics (evolution) of the short-term interest rate and approaches to modeling the time structure of interest;
* application of the Value at Risk and Expected Shortfalls metric to interest rate risk;
* the formation of programming skills in R required for effective modeling of interest rate risk.