Financial Risk Management

Financial Risk Management has been a crucial component of the financial strategy of major banks and financial institutions ever since 1990s. Its significance has grown substantially since the Global Financial Crisis of 200809.This programme is designed with a specific focus on financial risk management practices in public and private sector banks as well as financial institutions, keeping in view the prevailing and evolving regulatory norms.Participants will gain both theoretical perspectives and practical insights into the diverse types of risks faced by banks and financial institutions, particularly market risk, credit risk, liquidity risk, and operational risk. The programme will also offer an in-depth understanding of the issues involved in measuring and managing these risks.

The business of banks and financial institutions and the environment they operate inRisks facing banks and financial institutions and role of the risk management departmentMarket risk managementValue at Risk and Expected ShortfallBasel norms on market risk: The standardized approach vs the internal models approachCredit risk managementProbability of default and expected lossBasel norms on credit risk: The standardized approach vs the internal ratings based approachOther risks and associated regulatory norms: Liquidity risk, model risk operational riskBacktesting and stress testingFundamental Review of Trading Book (FRTB) and additional requirements under Basel 2.5 and Basel 3

The primary objective of this programme is to bring together both experienced and young risk analysts and managers, and to equip them with:Insights into the role of the risk management department in a financial institution.In-depth understanding of key issues in measuring and managing market risk and credit risk, and how to calculate capital charge as per the Basel norms.An appreciation of importance of other risks including liquidity risk, model risk and operational risk and role of backtesting and stress testing andPerspectives on prevailing and evolving regulatory norms in relation to Basel 2.5, FRTB and additional requirements under Basel 3.

The programme would be predominantly based on cases drawn from real world problems faced by banks and financial institutions. The use of cases would be complemented by lectures, guided exercises and group presentations.