This seminar provides:
· Decomposition of the banking book and analysis of its risk profile;
· Familiarization with the taxonomy of interest rate risk;
· Definition of interest rate risk metrics - both idiosyncratic (NII, EVE) and advanced (EaR, CFaR, MaR), based on the classic ValueatRisk concept;
· Identification of the role of volatility in determining the price of interest rate risk and its impact on the banking book;
· Identification of the link between the dispute and the forward interest rates and analytics of the time structure of the interest rate / yield curve; quantification of the yield curve;
· Taking into account the results of interest rate risk modeling in banking book stress testing.
For more information about the seminar please call us +38 (044) 227 81 73 or e-mail email@example.com