Programme Content
Introduction to Risk
Need for Risk Management
Types of Risk
How Do Firms Manage Financial Risk?
Governance of Risk Management
Credit Risk Transfer Mechanism
Enterprise Risk Management and Future Trends
Risk Data Integration and Reporting Principles
Statistical Inference and Hypothesis Testing
Linear Regression
Regression with Multiple Explanatory Variables
Stationary Time Series
Nonstationary Time Series
Time-Series Analytics
Simulation and Bootstrapping
Modern Portfolio Theory (MPT)
Capital Asset Pricing Model (CAPM)
Multi-factor Models of Risk-Adjusted Asset Returns
Portfolio Construction
Portfolio Risk Management – Analytical Methods
Factor Investing
Market Risk Measures
Parametric Approaches
Extreme Value Theory
Non-parametric Approaches
Value at Risk (VaR)
Back Testing VaR
VaR Mapping
Meaning, Properties, Motivation
Financial Correlation Modelling- Bottom-Up Approaches
How do correlations behave in real world?
Hedging Strategies
Exchange and OTC markets
Forwards and Futures Options
Options Markets
Properties of Options Swaps
Trading Strategies
SWAPS
Introduction
Management of Net Interest Income
Types of Rates
Duration
Convexity
Non-Parallel Yield Curve Shifts
Introduction
Classification
Spread Risk
Default Intensity Model
Portfolio and Structured Credit Risk
Basel Compliance
Counterparty Credit Risk
Netting, Compression, Resets and Termination
Collateral
Credit Exposure and Funding
Credit and Debit Value Adjustment
The Credit Transfer Market - Implications
Introduction
Categorization of Operational Risk
Regulatory Capital Under Basel
Standardized Measurement Approach
Preventing Operational Risk losses
Allocation of Operational Risk Capital
