Interest Rate and Duration Risk Training Course

Name: Interest Rate and Duration Risk Management Training Course
Availability: InStock

Advanced measurement of yield-curve exposure, duration, convexity, PV01, repricing gaps, stress scenarios, hedges, limits, and reporting

Interest Rate and Duration Risk Training Course

At a glance

Duration: 1 Week
Format: Classroom
Cities: Cairo, Amsterdam, Athens, Trabzon, Dubai, Istanbul and more
Next session: 26 – 30 October 2026, Cairo
Average fee: 5,750 €

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Interest Rate and Duration Risk Management Training Course

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Overview

Interest Rate and Duration Risk Management Training Course is a one-week advanced course for treasury and fixed-income professionals who need an Interest Rate and Duration Risk Measurement and Hedge Pack. The course connects yield-curve behavior, cash-flow timing, duration, convexity, PV01, repricing gaps, earnings and economic-value measures, stress tests, hedges, limits, and reporting. Participants calculate exposures before selecting controls. Agile Leaders Training Center presents rate risk through traceable measurement and hedge decisions.

Who Should Attend

Teams responsible for treasury and balance-sheet interest-rate exposure
Teams responsible for fixed-income portfolio risk and performance
Teams responsible for asset-liability management and repricing analysis
Teams responsible for market-risk measurement, limits, and reporting
Teams responsible for finance, valuation, stress testing, and model review
Teams responsible for hedge design and risk-control assurance

The course assumes participants already work with discounted cash flows and financial instruments and leaves out trading-system implementation and jurisdiction-specific capital calculations.

Departments and Industries

The course supports functions and sectors exposed to changing rates and yield curves.

Treasury, asset-liability management, finance, and market-risk departments
Fixed-income investment, portfolio-management, and valuation teams
Banks, insurers, asset managers, pension funds, and investment offices
Energy, infrastructure, manufacturing, and real-estate finance functions
Debt-management, advisory, audit, and risk-control teams

Learning Objectives

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

Analyze yield-curve shifts and cash-flow repricing exposure
Build duration, convexity, PV01, and gap measures
Apply earnings and economic-value scenario analysis
Evaluate behavioral assumptions and model limitations
Use cash instruments and derivatives for hedge design
Prioritize limits, stress evidence, and management reporting

Course Agenda

Day 1: Curves, Cash Flows, and Repricing

Yield-Curve Level, Slope, and Curvature Map
Discount-Factor and Present-Value Calculation Grid
Fixed, Floating, and Reset Cash-Flow Timeline
Repricing-Bucket and Maturity-Gap Schedule
Gap, Basis, and Option Risk Classification Matrix

Day 2: Duration and Convexity Measures

Macaulay and Modified Duration Calculation Sheet
Effective Duration Scenario Method
PV01 and DV01 Sensitivity Ladder
Convexity Adjustment and Price-Change Approximation
Portfolio Duration and Contribution Decomposition

Day 3: Earnings and Economic Value

Net Interest Income Repricing Simulation
Economic Value of Equity Cash-Flow Model
Parallel and Nonparallel Yield-Curve Shock Set
Basis-Risk and Optionality Assumption Register
Earnings-versus-Value Risk Reconciliation

Day 4: Hedging, Limits, and Reporting

Duration-Matching and Immunization Method
Bond, Swap, and Futures Hedge-Ratio Worksheet
Bullet, Barbell, and Convexity Trade-Off Analysis
Interest-Rate Risk Limit and Escalation Framework
Exposure, Stress, Hedge, and Residual-Risk Report

Day 5: Interest Rate Risk Practice

Exercise: Yield-Curve and Repricing-Gap Diagnosis
Exercise: Duration, PV01, and Convexity Calculation
Exercise: Earnings and Economic-Value Stress Test
Exercise: Hedge Ratio and Residual-Risk Challenge
Capstone Exercise: Interest Rate and Duration Risk Measurement and Hedge Pack

Practical Exercises

The course uses suggested activities that turn rate changes into quantified decisions.

Suggested activity: map a mixed cash-flow portfolio into repricing buckets and distinguish gap, basis, and option exposures.
Suggested activity: calculate modified duration, PV01, convexity, and portfolio contribution for fixed-income positions.
Suggested activity: compare net-interest-income and economic-value results under parallel and nonparallel shocks.
Suggested activity: size a hedge, test residual exposure, and document limit and escalation decisions.

FAQs

Who should attend the Interest Rate and Duration Risk Management Training Course?

The course suits treasury, asset-liability, fixed-income, investment, finance, valuation, and market-risk professionals. It assumes working knowledge of discounted cash flows and financial instruments.

How does interest rate and duration risk management differ from fixed-income fundamentals?

Interest rate and duration risk management quantifies sensitivity, shocks, earnings, value, hedges, limits, and residual exposure, while fixed-income fundamentals introduce instruments, pricing, and yield concepts.

What is the difference between duration and PV01 in interest rate risk?

Duration expresses relative price sensitivity to a rate change, while PV01 estimates the monetary value change for a one-basis-point move. Both depend on positions, cash flows, assumptions, and the selected curve movement.

Why are convexity and nonparallel yield-curve shocks needed?

Convexity improves estimates when price responses are nonlinear, while nonparallel shocks reveal exposures that a single parallel-shift measure can conceal across maturities and curve segments.

Conclusion

The course links cash flows, repricing, duration, convexity, earnings, economic value, shocks, hedges, limits, and reporting. Participants take back an Interest Rate and Duration Risk Measurement and Hedge Pack with calculation, scenario, control, and reporting artifacts. The pack makes assumptions, exposure, hedge choices, residual risk, and escalation decisions easier to test.

credits: 5 credit per day

Course Mode: full-time

Provider: Agile Leaders Training Center

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Showing 61-75 of 75 events

Location	Dates	Duration	Mode	Price
Abu Dhabi	Week 32, 2027 9 – 13 August 2027	1 Week	Onsite	€4,700
Nairobi	Week 32, 2027 15 – 19 August 2027	1 Week	Onsite	€4,500
Baku	Week 33, 2027 16 – 20 August 2027	1 Week	Onsite	€5,000
Muscat	Week 33, 2027 22 – 26 August 2027	1 Week	Onsite	€5,700
Paris	Week 34, 2027 23 – 27 August 2027	1 Week	Onsite	€5,700
Frankfurt	Week 35, 2027 30 August – 3 September 2027	1 Week	Onsite	€5,700
Madrid	Week 36, 2027 6 – 10 September 2027	1 Week	Onsite	€5,700
Dubai	Week 37, 2027 13 – 17 September 2027	1 Week	Onsite	€4,500
Marbella	Week 37, 2027 19 – 23 September 2027	1 Week	Onsite	€5,700
Barcelona	Week 38, 2027 20 – 24 September 2027	1 Week	Onsite	€5,700
London	Week 39, 2027 27 September – 1 October 2027	1 Week	Onsite	€5,700
Tokyo	Week 40, 2027 4 – 8 October 2027	1 Week	Onsite	€10,000
Rome	Week 41, 2027 11 – 15 October 2027	1 Week	Onsite	€5,700
New York	Week 42, 2027 18 – 22 October 2027	1 Week	Onsite	€12,000
Milan	Week 43, 2027 25 – 29 October 2027	1 Week	Onsite	€5,700

Frequently asked questions

What does this course cover?

OverviewInterest Rate and Duration Risk Management Training Course is a one-week advanced course for treasury and fixed-income professionals who need an Interest Rate and Duration Risk Measurement and Hedge Pack. The course connects yield-curve behavior, cash-flow timing, duration, convexity, PV01, repricing gaps, earnings and economic-value measures, str…

Are training dates available?

Yes. Available dates and destinations are listed in the course dates section on this page.

How can I register?

Choose an available date on this page and complete the registration form, or send a programme enquiry.

Can I download the course brochure?

Yes. Use the brochure download link provided on this page.

Interest Rate and Duration Risk Training Course