Programme Content
Financial Risk Management
Basics of Financial Risk Management
Fundamental Probability Theory
Brief Overview of Financial Derivatives
Market Risk Analysis for single asset
Nonparametric and parametric approaches to estimate VaR and Expected shortfall
Historical Simulation
Monte Carlo Simulation
Risk Metrics
GARCH
EGARCH
GJRGARCH and other GARCH family models
Extreme Value Theory
VaR Evaluation: Back testing
Market Risk Analysis
For portfolio and an asset influenced by various factors like Standard Covariance/Correlation approach
Risk Metrics
Monte Carlo Simulation
Multivariate GARCH
Risk Measurement in Fixed Income Markets
Duration based partial revaluation approach (Historical Simulation), Cash Flow mapping
Credit Risk Measurement
Introduction to credit risk
Default Risk
Managing credit risk
Credit Metrics
Default probabilities
Agency ratings
Credit scoring and Internal rating models
Structural models for credit risk (Merton, KMV), Reduced form models, Logistic model for loan default evaluation
LGD Estimation: LGD model methodologies; Application uses of LGD
Exposure at Default: EAD Modelling
Expected and unexpected credit loss
Operational Risk Measurement
Introduction to operational risk with evidence of operational failures
Estimating VaR for operational risk (Aggregate Loss Distribution/LDA) using Monte Carlo Simulation
Operational risk management framework
Operational risk process models Basics of Liquidity Risk: Liquidity Adjusted VaR under normal and stressed market
