Pensions and Retirement Training Course on Managing Duration and Interest Rate Risk
Master Pensions Retirement Training with expert training. 10 Days course with certification. Comprehensive training program. Online & in-person. Enroll now!
Pensions And Retirement Courses10 DaysCertificate Included
Duration
10 Days
Mode
Online & Physical
Certificate
Included
Language
English
Course Overview
This advanced course equips pension fund professionals with a deep understanding of duration management and interest rate risk control techniques. Participants will explore how interest rate movements impact both assets and liabilities, and how to design hedging, duration matching, and immunization strategies to stabilize funding ratios and ensure long-term solvency. The course combines quantitative modeling, yield curve analysis, and practical applications in liability-driven investment (LDI) frameworks, helping participants manage risk effectively in volatile rate environments.
Secure enrollment • Professional certificate included
Learning Objectives
By the end of the training, participants will be able to:
Understand the mechanics of interest rate movements and their effects on bond and pension fund valuations.
Measure and interpret different types of duration (Macaulay, modified, effective, key rate).
Apply duration matching and convexity adjustment techniques to manage risk.
Use yield curve models to forecast and simulate interest rate changes.
Identify sources of interest rate risk in asset-liability portfolios.
Construct portfolios that immunize against parallel and non-parallel yield curve shifts.
Employ derivatives such as swaps, futures, and options for duration management.
Integrate interest rate risk controls within LDI and cash flow matching frameworks.
Evaluate the impact of macroeconomic and monetary policy changes on pension fund exposure.
Establish governance, reporting, and oversight systems for duration and interest rate risk management.
Course Content
Module 1: Introduction to Interest Rate Risk in Pension Funds Nature and sources of interest rate risk Impact on asset values, liabilities, and funding ratios Relationship between duration, discount rates, and present value of liabilities Overview of interest rate sensitivity in defined benefit (DB) and defined contribution (DC) schemes Real-world examples: How interest rate changes affect pension solvency Module 2: Fundamentals of Duration and Convexity Definition and interpretation of duration and convexity Macaulay, modified, and effective duration measures The concept of duration gap and its significance Relationship between bond prices, yields, and duration Role of convexity in non-linear price-yield relationships Workshop: Calculating duration and convexity for sample portfolios
Module 3: Key Rate Duration and Yield Curve Exposure Key rate duration (KRD) and its applications Yield curve dynamics and principal component analysis Parallel vs. non-parallel yield curve shifts Estimating sensitivity of portfolio value to changes in specific maturities Portfolio rebalancing based on key rate exposures Case study: Using KRD to manage multi-maturity interest rate risk Module 4: Duration Matching and Immunization Strategies Duration matching principles for pension liabilities Single-period and multi-period immunization Role of convexity in effective immunization Constructing duration-matched fixed-income portfolios Monitoring and rebalancing duration gaps over time Workshop: Building a duration-matched portfolio using sample bond data Module 5: Advanced Yield Curve Modeling Overview of yield curve models: Nelson-Siegel, Svensson, and spline approaches Introduction to stochastic interest rate models (Vasicek, CIR, Hull-White) Simulation of yield curve scenarios Measuring the impact of curve shifts on asset and liability valuations Software-based exercises: Modeling interest rate risk in pension assets Module 6: Interest Rate Risk in Liability-Driven Investment (LDI) Integration of duration management within LDI frameworks Aligning asset durations with liability durations Role of hedging and derivative overlays in LDI Managing inflation-linked liabilities Case study: Interest rate hedging in a large pension scheme using LDI principles Module 7: Derivatives for Duration and Interest Rate Risk Management Overview of interest rate derivatives: swaps, futures, forwards, options Using swaps to extend or reduce portfolio duration Hedging strategies using futures and forward rate agreements Swaption structures for managing optionality risk Collateral management and counterparty risk considerations Practical session: Designing a swap-based duration hedge Module 8: Measuring and Monitoring Interest Rate Risk Quantitative risk measures: duration, DV01, VaR, and sensitivity analysis Tracking and managing interest rate exposure in real time Risk attribution and performance measurement Stress testing and scenario analysis under extreme rate movements Integrating risk metrics into ALM dashboards and reports Workshop: Interest rate risk monitoring and reporting simulation Module 9: Macroeconomic and Regulatory Influences on Duration Strategies Role of central banks and monetary policy in shaping yield curves Inflation, growth, and fiscal policies as drivers of interest rates Regulatory and accounting frameworks (IFRS 9, IAS 19, Solvency II) Effects of discount rate changes on funding status Global case studies: How pension funds responded to rate shocks (e.g., UK Gilt crisis 2022) Module 10: Governance and Implementation Frameworks Governance roles of trustees, investment committees, and regulators Policy development for interest rate and duration risk management Establishing control, compliance, and oversight mechanisms Integration of interest rate risk policy into investment strategy documents Reporting frameworks and communication with stakeholders Capstone project: Designing a duration and interest rate risk management policy for a pension fund
Who Should Attend
Pension fund managers, investment strategists, actuaries, risk officers, treasury managers, financial analysts, and trustees involved in portfolio construction, liability management, and strategic risk oversight.
