Duration: 2 days
 The Hedging Process
 Measuring Interest Rate Exposure
 Hedging Fixing Risk and PV Risk
 Hedging Yield Curve Risk
 Hedging FX Transaction Exposure
 Fair Value and Cash Flow Hedges
 Practical “Real Life” Workshops
The objective of this workshop is to give you a practical understanding of and “handson”
experience with tools and techniques for measuring and managing interest rate and FX risk.
We start with a general introduction to interest rate risk and FX risk management. We explain the
“anatomy” of interest rate and FX risk and present framework for assessing and managing these
risks. We also give an overview of tools and methodologies used for managing interest rate and FX
risk and we discuss their advantages and limitations.
We then explain methods for measuring interest rate risk. We present and explain concepts such
duration, convexity and key rate duration, and we also show how interest rate risk can be assessed
at the portfolio level.
Further, we present, explain and demonstrate a variety of methods for hedging interest rate risk at
the micro and macro levels. These methods include the use of derivate instruments such as futures,
swaps, caps, floors and swaptions. We give examples of “fair value” and “cash flow” hedges. We also
discuss some of the practical problems arising from the use of these methods, including their
accounting treatment.
After the theoretical discussion you will have the opportunity of working “handson” with cases on
measuring and hedging interest risk.
We then turn to look at FX risk. We explain how economic, translation, transaction and contingent
exposures can be identified and measured in Treasury and in investment portfolios, and we explain
and demonstrate how these exposures can be hedged using forwards, swaps, futures and options. We
present different hedging approaches, including cross hedges, proxy hedges and quanto hedges. We
also explain how exotic options can be used for the hedging of commercial FX transactions. Further,
we discuss the accounting, regulatory and other practical issues related to currency risk
management.
You will also have the opportunity to work “handson” with practical cases in FX hedging.
Day One
09.00  09.15 Welcome and Introduction
09.15  12.00 General Introduction to Interest Rate and FX Risk Management
 The Anatomy of Interest Rate and FX Risk
 Overview of Tools and Methods for IR and FX Risk Management
Hedging Interest Rate Risk
 The Hedging Process

Measuring Interest Rate Risk
 Positions, sensitivities and IR volatility
 Cash flow sensitivity to IR changes
 NPV sensitivity to IR changes
 Duration and convexity
 Yield curve risk (key rate durations)
 Measuring aggregate interest rate risk (VaR)
 Practical Exposure Calculation Examples
 Workshop:
Measuring Interest Rate Risk
12.00  13.00 Lunch
13.00  16.30 Hedging Interest Rate Risk (Continued)

Overview of Strategies for Interest Rate Risk in Portfolio Management
 Matching
 Immunization and factor immunization
 Using FRAs and Futures to Manage Fixing Risk

Using Interest Rate Swaps to Hedge Fixed and Floating Rate Assets and Liabilities Loans
 “Fair Value” and “Cash Flow” hedges
 Using Caps, Floors and Collars
 Using Swaptions Hedge LongTerm Interest Rate Risk
 Using Swaptions to Hedge Contingent Interest Rate Risk
 Hedge Accounting: Fair Value and Cash Flow Hedges
 Practical Hedging Examples
 Workshop:
Using Interest Rate Derivatives to Hedge Interest Rate Risk at the “Micro”
Level
Day Two
09.00  09.15 Recap
09.15  12.00 Hedging Interest Rate Risk (Continued)
 Using “Macro Swaps” to Hedge Loan and Deposit Portfolios
 Macro Hedging of Bond Portfolios Using Futures, Swaps
 Workshop:
Macro Hedging of Loan and bond Portfolios
 Practical Hedging Examples
FX Risk Management
 Sources of Currency Risk

Identifying and Measuring FX Exposure
 Economic exposure
 Translation exposure
 Transaction exposure
 Measuring FX Exposure at the “Micro” Level
 Measuring FX risk at the Portfolio Level (VaR)
 Practical Hedging Examples
 Workshop:
Identifying and Measuring FX Exposure
12.00  13.00 Lunch
13.00  16.30 Hedging FX Risk
 Hedging Economic FX Exposure

Hedging Transaction Risk Exposure
 Using forwards
 Using “protective puts”
 Using “covered calls”
 Using swaps
 Hedging Contingent Exposures
 Using Exotic Options for Hedging Currency Risk
 Using Cross Hedges and Proxy Hedges
 Hedge Accounting: Fair Value and Cash Flow Hedges
 Practical Hedging Examples
 Workshop:
Hedging FX Transaction Exposure
 Workshop:
Hedging FX Risk of Investment Portfolio
Evaluation and Termination of the Workshop