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Measuring, Managing and Monitoring Interest Rate Risk


26 - 28 October 2020

Virtual Classroom

Attend this intensive two-day training course and develop a deep understanding of:

  • Current best practices regarding the management of interest rate risk
  • Vital quantitative tools and metrics relating to the anticipation and mitigation of adverse developments in the interest rate environment
  • Models that can be used for forecasting future direction of benchmark interest rates
  • Quantitative methods for modelling changes in the term structure of interest rates
  • The longer-term consequences of unorthodox policies (such as QE and negative interest rate policies) for treasury functions
  • How to monitor money market spreads and volatility as precursors of changes in liquidity conditions
  • The tools that are vital for stress testing and assessing the impact of adverse scenarios on the capital base and future earnings of an enterprise
  • The regulatory framework – Basel III and other public policy measures - that pertain to the management of interest rate risk
  • The dynamics of inflationary and deflationary forces in the global economy
  • How to address unorthodox monetary policies and negative interest rates
  • Future regulatory directions with respect to Interest Rate Risk in the Banking Book (IRRBB)

Exercises include; Excel models which permits the calculation of key bond metrics; Excel model to illustrate how Fed Funds futures can be used to estimate probabilities of decision by the Federal Open Market Committee (FOMC); Application of actual stress testing techniques applied to duration characteristics of a balance sheet Funds Transfer Pricing (FTP)

Case studies include: The Taylor rule as an alternative to judgement based monetary policy; Excel model illustrating duration gap measurement and impacts of changing the duration characteristics; Risks of prolonged period of ultra-low interest rates in developed economies; FTP as cornerstone of balance sheet and liquidity risk management

Download the Interest Rate Risk course brochure

speaker presentation

We have been delivering online training for many years and know how to ensure the interaction is the same as if you were in a classroom.

The trainer will share his screen to allow you to follow the training session, which will be very practical. Our trainer will include polls, group work, exercises, discussions and breaks.

The course will be 50% pre-recorded, on-demand material that can be accessed at the delegates preferred time. 50% will be delivered ‘live’ with the trainer – timings of this will be flexible in order to best meet the requirements of the demographics of the delegates.

You will be able to ask questions, give feedback and participate in the practical sessions. Class sizes will be capped to ensure every delegate will be guaranteed quality time with the trainer.

Dates: 26-28 October 2020
Venue: Online
Online course fee: £2399 plus VAT = £2878.80
London course fee: £2999.00 + VAT @ 20% = £3598.80


Clive Corcoran

Clive Corcoran has been engaged in the finance and investment management sectors, on both sides of the Atlantic, for more than 25 years. Since re-locating to the UK in 2000, he has continued as an FCA registered investment adviser, to be engaged in providing strategic investment advice to private clients and pension funds. During recent years he has written several books on international finance, focusing on asset allocation and risk management. He also has also been very actively involved in executive education on a global basis for finance professionals. He conducts workshops and in house courses on a variety of topics including risk management, Basel III and capital adequacy, central banking, systemic risk, asset allocation techniques, credit risk, market risk and derivatives.


IFF is proud to be the official learning partner of RiskMinds. Find out more about RiskMinds International.

Watch the introduction video to Measuring, Managing & Monitoring Interest Rate Risk

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