American Bankers Association Risk Management Webinar Series: Part I

Immunizing Your Portfolio from Interest Rate Risk

Steve Gaenzler, CFA

Cliff Rossi, Ph.D.

May 30th, 2017

 

Five Bridges Co-Founder Steve Gaenzler and Chief Risk and Regulatory Advisor Dr. Cliff Rossi will present Part One of a three-part online webinar series to bankers across the U.S. highlighting the techniques and concepts bank risk managers will need in their analytics toolkit to ensure accurate measurement and management of interest rate risk in their portfolios.

 

Specific topics to be covered include static and duration gap management, economic value of equity, net interest income simulation, interest rate shock scenario analysis and decomposition of the yield curve using principal components analysis.