**Financial Risk Management **

**Risk management refers to the practice of identifying potential risks in advance, analyzing them and taking precautionary steps to reduce/curb the risk. Risk management process is considered as an important discipline that the business has in its recent times.**

**About Financial Risk Management **

Risk quantification has emerged as a very important component to a firm’s financial well-being. This course provides training on the

**Market Risk**

- Absolute Risk
- Relative Risk
- Directional
- Non-Directional
- Basis Risk
- Volatility Risk

**Credit Risk **

**Liquidity Risk**

**Operational Risk**

- Fraud risk
- People Risk
- Model Risk
- Legal Risk

**Course Highlights**

- Chief Risk Officer
- Chief Finance officer
- Risk managers
- Head of Risk Management in Banks
- Investment Banks
- Stock Exchanges
- Asset Management Companies
- Mutual Funds
- Hedge Funds
- Insurance Companies
- Private Equity Firms
- Large Corporate
- Credit Rating Agencies and Regulators.

In view of this Risk Management as a career option has become even more prospective and lucrative across the globe and specially in India. There had always been a shortage of appropriately qualified risk management professionals and this shortage is going to get more accentuated, leading to greater demand for certified professionals.

**FRM Part – 1**

- Duration: 240 minutes
- No. of questions: 100
- Maximum marks: 100

**FRM Part – 2 **

- Duration: 240 minutes
- No. of questions: 80
- Maximum marks: 100
- Passing marks: 50 (50%); There is no negative marking in this module.
- Certificate validity: For successful candidates, certificates are valid for 5 years from the test date.

## Our Training Features

#### Experienced Trainers

#### Flexible Timings

#### Placement Assistance

#### Hands on Training

**Course Syllabus :**

__ __**PART I**** **

Introduction to Financial Mathematics

Introduction to Financial Calculus

- Variables – Discrete and Continuous
- Univar ate and Multivariate Functions – Dependent variable and

Independent variable

- Physical representation of a function
- Linear and Non-Linear functions
- Limits of a function
- The number e and Natural Logarithm
- Differential Calculus – Differentiation, Interpretation – Slope of a tangent,using derivatives to calculate function values and deltas. Linear functions 1st order derivative. Non-linear functions – 1st and higher orderderivatives, interpretations and usage.
- Rules of derivatives.

- Functions – Differentiation and Taylor Series Expansion
- Introduction to Partial Derivatives
- Introduction to Integral Calculus

**Introduction to Bond Mathematics**

- Finance and the Time Value of Money
- Concept of Zero Coupon (Discount) Bonds and Coupon Bonds.
- Bond Characteristics
- Bond Types – Fixed Rate, Floating Rate, Inverse Floater Rate, etc.
- Interest Rates – Discrete and Continuous Compounding
- Bond Pricing – using ZCYC or YTMC with discrete compounding or

continuous compounding

- Difference between bond coupon rate and bond yield
- Calculating Bond Yield (YTM, CY, MMY, ZCY/Spot, Par Yield, etc.)
- Price Yield Relationship

** ****Introduction to Financial Statistics**

- Introduction to Financial Statistics
- Frequency distributions
- Measures of Central Tendency/Location (Mean/Mode/Median)
- Dispersion, Measures of Dispersion

(Variance/SD/Quartiles/Percentiles/Ranges) and its relevance to Risk

**Management**

- Correlations
- Introduction to Probability Theory
- Random variables
- Probability and its uses
- Probability Rules
- Conditional Probabilities
- Probability Distributions (Single Variable)
- Continuous Time/Discreet Time; Continuous Value/ Discreet

**Value**

- Probability Mass Function

**iii. Probability Density Function**

- Cumulative Distribution Function
- Applications and relevance in Risk Management
- Mathematical Expectation
- Moments of Distribution (Mean, Variance, Skewness, Kurtosis), Central

**Moments, Standardized Moments**

**Quantitative Analysis**** **

- Discrete and continuous probability distributions
- Estimating the parameters of distributions
- Population and sample statistics
- Bayesian analysis
- Statistical inference and hypothesis testing
- Correlations and copulas
- Estimating correlation and volatility using EWMA and GARCh models
- Volatility term structures
- Linear regression with single and multiple regressors
- Time series analysis
- Simulation methods

**Foundations of Risk Management**

- Basic risk types, measurement and management tools
- Creating value with risk management
- The role of risk management in corporate governance
- Enterprise Risk Management (ERM)
- Financial disasters and risk management failures
- The Capital Asset Pricing Model (CAPM)
- Risk-adjusted performance measurement
- Multi-factor models
- Data aggregation and risk reporting
- Ethics and the GARP Code of Conduct

**Financial Markets and Products**

- Structure and mechanics of OTC and exchange markets
- Structure, mechanics, and valuation of forwards, futures, swaps and options
- Hedging with derivatives
- Interest rates and measures of interest rate sensitivity
- Foreign exchange risk
- Corporate bonds
- Mortgage-backed securities
- Rating agencies

**Valuation and Risk Modelling**

- Value-at-Risk (VaR)
- Expected shortfall (ES)
- Stress testing and scenario analysis
- Option valuation
- Fixed income valuation
- Hedging
- Country and sovereign risk models and management
- External and internal credit ratings
- Expected and unexpected losses
- Operational risk

** **

**PART II**** **

**Market Risk Measurement and Management**

- VaR and other risk measures
- Parametric and non-parametric methods of estimation
- VaR mapping
- Back testing VaR
- Expected shortfall (ES) and other coherent risk measures
- Modelling dependence: Correlations and copulas
- Term structure models of interest rates
- Discount rate selection
- Volatility: Smiles and term structures

**Credit Risk Measurement and Management**** **

- Credit analysis
- Default risk: Quantitative methodologies
- Expected and unexpected loss
- Credit VaR
- Counterparty risk
- Credit derivatives
- Structured finance and securitization

** ****Operational and Integrated Risk Management**

- Principles for sound operational risk management
- Enterprise Risk Management (ERM)
- Risk appetite frameworks and IT infrastructure
- Information risk and data quality management
- Internal and external operational loss data
- Modelling operational loss distributions
- Extreme value theory (EVT)
- Validating models
- Benchmarking models
- Model risk
- Risk-adjusted return on capital (RAROC)
- Economic capital frameworks and capital allocation
- Liquidity risk:
- Failure mechanics of dealer banks
- Stress testing banks
- Outsourcing Risk
- Regulation and the Basel Accords

**Risk Management and Investment Management**

- Portfolio construction
- Portfolio risk measures
- Risk budgeting
- Risk monitoring and performance measurement
- Portfolio-based performance analysis
- Hedge funds

**Current Issues In Financial Markets**

- Bitcoin and virtual currencies
- Market and funding liquidity
- Algorithmic trading and fixed income market algorithmic trading
- Negative policy rates
- Emerging economies and corporate debt