Risk Management
₹160.00
SYBBI — SEMESTER – III
Author: Dhaval Parekh
FIFTH EDITION 2023
Description
SYLLABUS
| No. | Modules / Units |
| 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 |
|
| 3 | Credit Market Risk Management |
| ¨ Introduction,
¨ Information required for evaluation of credit risk, ¨ Procedure for Credit Risk Management, ¨ Credit Lifecycle, ¨ Loan Review Mechanism, ¨ RBI guidelines on Credit Rating Framework in Banks, ¨ Introduction of Basel Norms and calculation of capital adequacy ratio |
|
| 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) & beta calculation ¨ Risk management of derivatives (application to convertible risk) ¨ Interest rates and measures of interest rate sensitivity |
