Post-Financial Crisis Health Check: Hedging a Volatile US LIBOR

7 Months into the Trump Administration, and nearly 10 years from the peak of the financial crisis, institutions remain exposed to US interest rates risk. In this session, Antonio Rivela, Adjunct Professor of Finance at IE University, will provide analysis on the duration, risk and the sensitivity impact of interest rate changes on investment portfolios.

This master class focuses on ALM methodologies in order to match assets and liabilities in financial institutions exposed to US interest rates risk. We will analyze modified duration as the sensitivity of your portfolio to interest rates movements. In case duration becomes very volatile, We will have to pay attention to convexity as the sensitivity of duration to a change of the yield curve. Finally, if the term structure becomes very heterogeneous we will focus on buckets duration or key rates duration to improve our ALM.

About the Presenter:

Antonio Rivela is CEO and founder of Netvalue Forensic SLP (www.netvalueforensic.com), a firm that focuses on litigation/arbitration disputes from a financial perspective. He has worked as an investment banker and financial consultant since 1996: mostly derivatives, fixed income, debt capital markets and corporate finance in the following positions: Managing Director at UBS. European Co-Head of Fixed Income/DCM and Derivatives Sales, Director at Deutsche Bank. Responsible for derivatives structuring. Spain and Portugal, Analyst at Merrill Lynch. Mergers and Acquisitions, Analyst at Banco Santander. Derivatives valuation models.

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