Description

Syllabus

 

MODULE – I:

(1)    Foundations of Risk Management:

• Basic Risk Types, The Role of Risk Management, Enterprise Risk Management (ERM).
• History of Financial Disasters and Risk Management Failures 2007 Financial Crisis.

(2)    Capital Market Risk Management:

• Equity, Currencies & Commodities Markets in India, Introduction to Derivatives, Forward, Future and Option Contracts, Hedging through Derivatives Contract.
• Fixed-income Securities, Fixed-income Risk Management through Derivatives, Rating Agencies.

 

MODULE – II:

(3)    Credit Market Risk Management:

• Introduction, Information Required for Evaluation of Credit Risk, Procedure for Credit Risk Management, Credit Lifecycle.
• Loan Review Mechanism Guidelines on Credit Rating Framework in Banks, Introduction of Basel Norms and Calculation of Capital Adequacy Ratio (Calculation).

(4)    Risk Measurement:

• Estimation of volatilities and correlations (application to volatility term structures) Monte Carlo Simulations (Application to Interest Rate Forecasting), Linear Value-at-Risk (application to market, Credit and Operational Risk).
• Option Valuation, Risk-Adjusted Return on Capital (RAROC) and beta calculation, Risk Management of Derivatives (Application to Convertible Risk), Interest Rates and Measures of Interst Rate sensitivity.