Ch 10 · Interest Rate Risk Management — CA Final AFM
4 levels · 64 questions · free
How to play
Mixed questions from this chapter — fill the missing term, sort into the right box, match the pairs, order the steps, or catch the formula that is wrong.
What this drills
This chapter is built out of lists — seven risk types, four measurement techniques, six hedging tools. Examiners ask for the list; knowing six of seven is what costs the mark.
- ✓The seven types of interest rate risk
- ✓Benchmark rates and the LIBOR to ARR transition
- ✓FRA, IRF, IRO, swaps and swaptions
- ✓Caps, floors, collars and cheapest-to-deliver
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CA Final books →Ch 10 · Interest Rate Risk Management — questions
What are the seven types of interest rate risk?+
Gap (mismatch) exposure, basis risk, embedded option risk, yield curve risk, price risk, reinvestment risk and net interest position risk.
Why did LIBOR get replaced?+
Manipulation scandals. In 2017 it was decided to replace LIBOR with Alternative Reference Rates by 2022 — rates based on actual overnight transactions rather than bank judgement, and separate for each region and currency.