About This Event
“Turn yield-curve noise into risk limits your board will actually sign.”
Equips senior reserve managers with the analytical tools to measure and manage interest rate and price risk across reserve portfolios, translating bond mathematics into practical risk limits and hedging decisions that hold up at board level.
What You'll Explore
A board-ready risk appetite statement for your reserve portfolio
Working fluency in parametric, historical and Monte Carlo VaR
A stress-tested view of duration and convexity exposure
A common risk language shared across risk, treasury and portfolio teams
Fluency in key rate duration, isolating exactly where on the curve your exposure is concentrated
Who Should Attend
Open to all qualifying staff — particularly: Reserve & Treasury Directors, Heads of Risk, Senior Portfolio Managers.
Why This Course Matters
Price Reserves Correctly
Duration and convexity turn yield-curve moves into a defensible mark-to-market view of the portfolio. That mark-to-market discipline is what lets you catch a mispriced exposure before it shows up as a loss.
Defensible Risk Limits
Parametric, historical and Monte Carlo VaR give the board a common language for exposure. A shared VaR language means risk, treasury and the board are finally arguing about the same number.
Board-Ready Appetite
Translate technical risk metrics into a risk appetite statement leadership can sign off on.
Programme
Day 1
Fixed income risk fundamentals: duration, convexity, DV01
Build fluency in the fixed-income risk fundamentals of duration, convexity and DV01.
Day 2
Value-at-Risk methodologies: parametric, historical, Monte Carlo
Run all three major VaR methodologies on live portfolio data.
Day 3
Yield curve risk & key rate duration
Decompose yield-curve risk using key rate duration.
Day 4
Setting risk limits & board-level risk appetite statements
Translate everything measured into actual risk limits and draft a board-level risk appetite statement.
Day 5
Case studies on reserve portfolio stress scenarios & defence
Stress-test a reserve portfolio against real historical shock scenarios and defend your risk limits under challenge.
Standards & Faculty Benchmark
Basel Committee market risk principles
Market, credit, operational and FRTB risk principles underpinning the risk-track courses.
IMF/World Bank reserve management guidelines
Reserve management guidelines and the Reserve Advisory & Management Partnership curriculum.
GARP FRM curriculum
Global risk and portfolio-management body-of-knowledge benchmarks for practitioner rigour.
Basel Committee market risk principles and the GARP FRM curriculum are the vocabulary your auditors, rating agencies and IMF/World Bank counterparts already use.
Is This Right for You?
- ☑You manage or oversee fixed-income exposure within reserves
- ☑Your institution needs sharper interest-rate risk limits
- ☑You want techniques that survive a board-level challenge
Good to Know
Open to all qualifying staff; the mathematics is taught for decision-making, not derivation, so no quant background is required.
The Bottom Line
Bring back a risk appetite statement your board can sign the same week, backed by VaR models you understand well enough to defend.
Recommended For
Open to all qualifying staff — particularly: Reserve & Treasury Directors, Heads of Risk, Senior Portfolio Managers.