Hedging & Risk

Hedging Interest Rate Risk Using Derivatives

Most hedging strategies fail because they don’t match the risk. This report shows how to use swaps, caps, floors, and collars to improve key rate sensitivities and build optimized hedge portfolios.

Paul Stafford & César Cote

May 5, 2026

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What You’ll Find in the Report

Measure the Right Risk

Understand PV01, KRD, CFaR, and stress scenarios before selecting any hedge.

Choose the Right Instruments

Swaps, caps, floors, and collars behave differently across risk metrics.

Build an Optimized Hedge

Use portfolio approaches to align derivatives with exposure and loan structure.

What You’ll Learn

Risk Measurement Framework

How deterministic and stochastic metrics define hedging effectiveness across scenarios.

Derivatives and Their Impact

What swaps, caps, floors, and collars actually improve — and what they don’t.

What You’ll Find in the Report

Measure the Right Risk

Choose the Right Instruments

Build an Optimized Hedge

What You’ll Learn

Risk Measurement Framework

Derivatives and Their Impact

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