Page 217 - AFM Integrated Workbook STUDENT S18-J19

Chapter 11

Hedging interest rate risk

Outcome

By the end of this session you should be able to:

 evaluate, for a given hedging requirement, which of the following is the most
appropriate given the nature of the underlying position and the risk exposure:

(i) Forward Rate Agreements (FRAs)

(ii) Interest rate futures

(iii) Interest rate swaps

(iv) Interest rate options,

and answer questions relating to these areas.

The underpinning detail for this chapter in your Integrated Workbook can
be found in Chapter 11 of your Study Text

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