Certificate Programme in Applied Financial Risk Management (CPAFRM Batch 03)

As the finance industry becomes more challenging and competitive, the executives that succeed are the ones who can exhibit their capabilities to contribute to the growth of the organization. An in-depth knowledge in the field of risk management empowers you to boost your skills and knowledge to the world’s leading financial institutions. This course is designed to introduce you to the foundational concepts as well as the most recent risk identifications, management techniques and tools. By applying a more coherent approach, this course focuses on application of risk management practices in various financial markets. This course will help you

Acquire skills in making investment decisions in the financial market in the short- and long-term perspective.

Critically analyze, interpret information from financial markets, economic calculations

Devise risk management measures within the selected strategies and evaluate their effectiveness, given the costs of implementation

Programme Contents

Overview of Risk Management The Philosophy of Risk:

Understanding the contours of Uncertainty, Risk and Complexity

Approaches towards Risk Management: Theory and Practice

Risk management framework for Financial Institutes: The philosophy and contours of Basel Framework and beyond

Enterprise Risk Management: A holistic risk management framework for the non-financial firms

Complexity science and the emergence of a new paradigm of risk management

Quantitative Analysis for Risk Management (Statistics Probability distributions

Sample and population statistics

Statistical inference and hypothesis testing

Measure of dependence (correlations)

Linear single and multiple regressions

Time series analysis and forecasting

An Introduction to R and Python for

Application of quantitative analysis using R and Python

Machine

Learning using Python

Application of Machine Learning for Risk Management

An Overview of Financial Institutions and Markets

Structure and functions of Financial Institutions

Financial statement analysis and Bank valuation

Understanding risk in the financial institutions

Risk in the equity and bond markets

Options, Futures, and Other Derivatives

Futures and hedging strategies

Options and hedging strategies

Interest rate futures and hedging strategies

Options Greek

Fixed Income Securities

Valuing a Fixed Income Security: The relationship between the interest rate and the price of a debt asset

Understanding and predicting the yield curve

The fixed income portfolio strategies and the interest rate: sources of interest rate risk affecting the fixed income portfolio

Duration, Convexity and single factor risk management

Immunization and other passive portfolio management strategies

Using Market based risk hedging: Interest Rate Futures and Interest Rate Swaps

Financial Decisions using Simulation

Introduction to simulation in financial decisions

Analyzing NPV under uncertainty

Cash balance analysis and Investment Modelling

Revenue management using simulation

Analytics for Financial Risk Management using R

Short-and Long-run relationship and their assessment

Assessment of volatility model

Analysis of Value-at-Risk and Expected Shortfall

Portfolio Management

Credit Risk Measurement and Management

The nature of Credit Risk: the challenges and peculiarity of managing credit risk

Credit Default Swap

Asset Backed Securities

Structural models for credit risk (Merton, KMV)

LGD Estimations: LGD model and its applications

Exposure of Default-EADF modelling

Liquidity Risk Management

Liquidity risk, principles, and metrics

Liquidity adjusted Value-at-Risk under normal and stressed market

Cash flow modelling, liquidity stress testing

The pedagogy will be a judicious mix of lectures, case discussions, project work, term papers, and assignments etc.