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 usage of tools used in quantification of financial risk (including market risk, credit risk and operational risk) and problems related to financial risk management. The course is full of hands-on and implementation of tools and techniques using recent market data. The course will provide the practitioner’s perspective in measuring various kinds of financial risks. It attempts to strike a balance between institutional details, theoretical foundations, and practical applications. The course will extensively make use of MS Excel and R.

 

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.
 Total Fees : Rs.28500/- (Rupees Twenty Eight Thousand Five Hundred Only)

Our Training Features

Experienced Trainers

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Flexible Timings

Placement Assistance

Hands on Training

Course Syllabus :

 PART I 

Introduction to Financial Mathematics

Introduction to Financial Calculus

  1. Variables – Discrete and Continuous
  2. Univar ate and Multivariate Functions – Dependent variable and

Independent variable

  1. Physical representation of a function
  2. Linear and Non-Linear functions
  3. Limits of a function
  4. The number e and Natural Logarithm
  5. 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.
  6. Rules of derivatives.
  1. Functions – Differentiation and Taylor Series Expansion
  2. Introduction to Partial Derivatives
  3. Introduction to Integral Calculus

Introduction to Bond Mathematics

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

continuous compounding

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

 Introduction to Financial Statistics

  1. Introduction to Financial Statistics
  2. Frequency distributions
  3. Measures of Central Tendency/Location (Mean/Mode/Median)
  4. Dispersion, Measures of Dispersion

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

Management

  1. Correlations
  2. Introduction to Probability Theory
  3. Random variables
  4. Probability and its uses
  5. Probability Rules
  6. Conditional Probabilities
  7. Probability Distributions (Single Variable)
  8. Continuous Time/Discreet Time; Continuous Value/ Discreet

Value

  1. Probability Mass Function

iii. Probability Density Function

  1. Cumulative Distribution Function
  2. Applications and relevance in Risk Management
  3. Mathematical Expectation
  4. Moments of Distribution (Mean, Variance, Skewness, Kurtosis), Central

Moments, Standardized Moments

Quantitative Analysis 

  1. Discrete and continuous probability distributions
  2. Estimating the parameters of distributions
  3. Population and sample statistics
  4. Bayesian analysis
  5. Statistical inference and hypothesis testing
  6. Correlations and copulas
  7. Estimating correlation and volatility using EWMA and GARCh models
  8. Volatility term structures
  9. Linear regression with single and multiple regressors
  10. Time series analysis
  11. Simulation methods

Foundations of Risk Management

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

Financial Markets and Products

  1. Structure and mechanics of OTC and exchange markets
  2. Structure, mechanics, and valuation of forwards, futures, swaps and options
  3. Hedging with derivatives
  4. Interest rates and measures of interest rate sensitivity
  5. Foreign exchange risk
  6. Corporate bonds
  7. Mortgage-backed securities
  8. Rating agencies

Valuation and Risk Modelling

  1. Value-at-Risk (VaR)
  2. Expected shortfall (ES)
  3. Stress testing and scenario analysis
  4. Option valuation
  5. Fixed income valuation
  6. Hedging
  7. Country and sovereign risk models and management
  8. External and internal credit ratings
  9. Expected and unexpected losses
  10. Operational risk

 

PART II 

Market Risk Measurement and Management

  1. VaR and other risk measures
  2. Parametric and non-parametric methods of estimation
  3. VaR mapping
  4. Back testing VaR
  5. Expected shortfall (ES) and other coherent risk measures
  6. Modelling dependence: Correlations and copulas
  7. Term structure models of interest rates
  8. Discount rate selection
  9. Volatility: Smiles and term structures

Credit Risk Measurement and Management 

  1. Credit analysis
  2. Default risk: Quantitative methodologies
  3. Expected and unexpected loss
  4. Credit VaR
  5. Counterparty risk
  6. Credit derivatives
  7. Structured finance and securitization

 Operational and Integrated Risk Management

  1. Principles for sound operational risk management
  2. Enterprise Risk Management (ERM)
  3. Risk appetite frameworks and IT infrastructure
  4. Information risk and data quality management
  5. Internal and external operational loss data
  6. Modelling operational loss distributions
  7. Extreme value theory (EVT)
  8. Validating models
  9. Benchmarking models
  10. Model risk
  11. Risk-adjusted return on capital (RAROC)
  12. Economic capital frameworks and capital allocation
  13. Liquidity risk:
  14. Failure mechanics of dealer banks
  15. Stress testing banks
  16. Outsourcing Risk
  17. Regulation and the Basel Accords

Risk Management and Investment Management

  1. Portfolio construction
  2. Portfolio risk measures
  3. Risk budgeting
  4. Risk monitoring and performance measurement
  5. Portfolio-based performance analysis
  6. Hedge funds

Current Issues In Financial Markets

  1. Bitcoin and virtual currencies
  2. Market and funding liquidity
  3. Algorithmic trading and fixed income market algorithmic trading
  4. Negative policy rates
  5. Emerging economies and corporate debt