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.
