INTEREST RATE MODELS
28th & 29th DECEMBER 2010

The workshop is aimed at treasury, risk and fixed income investors who use interest rate forecasting tools for arbitrage, ALM, risk or credit policy decisions. Teaching methodology is based on intensive hands on model building and application cases.

The workshop covers four different families of interest rate models starting with the simplest CIR (Cox, Ingersoll & Ross) and finishing up with the multi-factor HJM model. We then look at applications of the same models in Asset Liability Management, Fixed Income Arbitrage, monetary policy announcements and predicting unexpected interest rate shocks. A final session extends the analysis to a macro economic model of the economy using core interest rate drivers and Monte Carlo simulation.

By the end of this workshop participants will be able to

• Use models to identify fixed income arbitrage opportunities in treasury term structure
• Build basic and advance interest rate models in excel for forecasting and extrapolating interest rates across the full range of maturity tenors
• Review the impact of external shocks (such as oil prices) on domestic interest rate environment and monetary policy
• Review interest rate inputs for ALCO meetings as well as ALM models.

 
The packaged workshop represents an integrated skill building exercise that combines concepts with practical hands on application and is aimed at professionals who deal with pricing, valuation and portfolio management issues related to fixed income markets in Pakistan.

For more details on the workshop, please click here or contact the following:

Jawwad Farid, Uzma Salahuddin at:
Alchemy Technologies (Pvt.) Ltd.
166 Block 7/8, KMCHS,
Karachi

Phone: 021 - 34556431 / 52
Fax: 021 - 34556447
Email: jawwad@alchemya.com, uzma@alchemya.com,
Web: www.alchemya.com, Learning Corporate Finance